Risk Monitoring

Há 10 horas

Porto, Portugal askblue Tempo inteiro

We operate as a consulting service firm since 2013 and offer specialized consulting services to clients in the financial and information technology sectors.

We are currently looking for a
**Risk Monitoring** to integrate one of your project teams in
**Porto**.

**Main tasks**:

- Producing and reporting of quantitative Risk indicators such as sensitivities, Specific Stress-Tests, Global Stress-Tests, Reverse Stress-Tests, VaR, sVaR, IRC, daily;
- Consolidating Risk indicators for Risk Mandate production, daily;
- Controlling, analysing, and certifying all the indicators mentioned above focusing on daily variations as well as intraday moves in respect of the corresponding set of limits;
- Producing of P&Ls such as economic P&L, actual P&L, hypothetical P&L, P&L Explain, Risk Theoretical P&L, Accrued;
- Producing and controlling the Client Contribution on MARPL’ scope of action;
- Reporting of the economic P&L to the relevant departments and stakeholders within Natixis and BPCE;
- Certifying the daily economic P&L and ensure its audit trail, certifying the actual, hypothetical and risk theoretical daily P&Ls, analyzing and explaining the daily/weekly P&Ls variations;
- Producing and analysis of RIM and RIM Back Testing components;
- Consolidating Risk Reports sent by international branches (NY, UK, APAC) and advising them when necessary;
- Computing the market risk reserves and reporting their variation and level, monthly;
- Computing on a quarterly basis the Prudent Value Adjustment on Market Price Uncertainty, Close-OutCosts, Some Model Risk Components such as Mean Reversion, Unearned Credit Spreads and Investing and Funding Costs;
- Producing, control the SRAB and Volcker indicators under MARPL’s responsibility;
- Analysis and controlling limit consumptions, KPIs on Volcker, Data Quality,;
- Producing dashboards for Senior Management (to be validated by the P&O team) on a daily, weekly and monthly basis;
- Consolidating all Risk Reports on Natixis and consolidated desks levels on a daily, weekly and monthly basis;
- Preparing the relevant portion of support document for the Market Risk Committees;
- Production of VaR Back testing components and exception reporting;
- Communicating with BLs and RM in case of limits breaches and loss alerts;
- Maintaining up to date referential mapping (e.g. Homologated books/non-homologated books);
- Consistency checks between day to day processes and the controls/referential;
- Producing Regulatory Risk reports (ACPR, JST, ) on a quarterly basis.

**Requirements**:

- Master’s degree on Finance/Economics/Engineering/Mathematics;
- Market Risk (1-3 years);
- Project Management (3+ years);
- Change Management (3+ years);
- Excel (advanced knowledge);
- Autonomy, Communication, Energy, Rigorous;
- English (mandatory);
- French (preferred).

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