Senior Market Risk Frtb Analyst

**About the job**

The role of Senior Market Risk FRTB Analyst is primarily to ensure the coordination, reliability and compliance of regulatory and internal capital production for market, counterparty and settlement risks for the BNPP Group, as well as additional thematically-linked deliverables relating to Resources Management. The team are ultimately responsible for the official calculation, associated analysis / explanation and reporting of Market, Counterparty and Settlement Risk RWA, and additionally for updates of forecasts and simulations delivery, alongside related regulatory demands (such as QIS)

RISK MFI MI - Capital and Resources is responsible for ensuring that existing (Basel III) and future (Basel IV, Fundamental Review of the Trading Book (FRTB)) capital-related methodologies and procedures are implemented consistently at Group level and guide consistent implementation at Legal Entity levels, across locations and business lines

**Your Main Activities Are**

The senior market risk Capital analyst is primarily in charge of the FRTB transition to BAU as well as the supervision of (and contribution to) the production and reliability of the Capital figures for market risk under the current framework. The scope under management is large, mostly covering the whole BNPP Group for both standard (FRTB SA) and advanced approaches

With a close collaboration with their team, the senior analyst contributes to the development and implementation of a proper analysis framework allowing to understand the dynamic of the elementary FRTB metrics (Internal Model Approach / Standard Approach) and allowing the team to report and explain those metrics to Businesses, Group Finance and senior management
- Quantitative Impact Study (QIS) and pre-Production: Manage/coordinate the contribution to the QIS exercises and the pre-production taskforce to deliver accurate and timely Capital figures under FRTB framework. Contribute to the setup of the production process and associated needed controls. Prepare and maintain supporting procedures and methodologies
- New Analysis framework: Contribute to the setup of dedicated dashboards and reports to to deliver the information to management, businesses and Finance. Contribute to the operational insertion of the new analysis framework with contributions from RISK MFI and Sigma teams to allow adequate monitoring and capacity to understand the dynamic of the FRTB metrics
- Production: Supervise the official market risk capital production to ensure accuracy of the figures as well as the the analysis of the VaR, SVaR and IRC dynamic
- Lead the contribution to the bi-monthly Financial Market Risk Committee (FMRC). Contribute to the production of other relevant / on demand reports to the Board and to Group, Businesses and RISK Management, as well as requests from ratings agencies, regulators and auditors
- Contribute to the regulatory reporting of Capital figures, with a dedicated focus on FRTB framework
- Contribute to the setup and operational insertion of the FRTB analysis framework. Act as a point of contact with Businesses and FINANCE teams with regards to market risk Capital topics
- Ensure team’s internal documents (operational procedure, methodological document and control plans) are maintained up to date under the applicable governance

The role is ideal for collaborative individuals with technical skills, financial risk interest and attention to detail. The role gives you a holistic experience of being a risk management professional with capacity to discover and get acquainted of current and future regulations

**Profile** and Skills to Success**

Bachelor Degree in Mathematics / Finance / Engineering or related

Up to 2 years of relevant experience in Regulatory and Financial reporting

At least 3 years of relevant experience in Market Risk

Advanced level of English, both written and oral

Knowledge in Python

Attention to detail / rigor

Analytical ability

Communication skills, both written and oral

Client focused

Proactivity

LI-Hybrid

**Why joining BNP Paribas?**
- ** Leading banking institution**

BNP Paribas is the European Union’s leading bank, and key player in international banking. It operates in 63 countries and has nearly 183.000 employees, including more than 146.000 in Europe.
- ** Our presence in Portugal**

In Portugal since 1985, BNP Paribas today has more than 8.700 employees, distributed across the Group's 10 business entities established in the country. Its presence also extends to 11 excellence centres providing value-added services to various countries where the BNP Paribas Group also operates.
- ** International reach**

Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients with financing, investment, savings and protection solutions that help make their projects a success. BNP Paribas holds key positions in its three core operating divisions