Quantitative Backtesting Senior Analyst

**About the job**

Within the RISK ERA Models department, the Model Performance (MP) team develops and maintains the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF); including the relevant ad-hoc criteria measuring the performance

The team carries out many other studies and participates in various transverse projects.

Due to growing demands from European regulator/supervisor, the model performance team is carrying out studies that are becoming increasingly important.

**Your Main Activities Are**
- Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation
- Contribute to the production of the backtesting ECB Templates
- Contribute to the production of the backtesting Shortcuts
- Control and validation of LGD spreadsheet
- Participation to transversal projects related to credit risk models performance assessment
- Improvement of existing tools and processes
- Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting
- Share knowledge with junior members

**Profile and Skills to Success**
- Previous Experience in Risk Management (3-4 years)
- Studies: Mathematics and Statistics
- Knowledge on the credit risk within the bank industry
- Knowledge on Data Intelligence, Research and Quant Analytics (Data Viz Blending Analytics SAS)
- High data manipulation skills
- Expertise in models / stats
- Analytical skills
- Fluent in English

**About the Team**

By integrating the MP Lisbon team, the Model Performance Analyst works in a best in class Model team and in an international and dynamic environment.

**Missions are**:

- Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation
- Contribute to the production of the backtesting ECB Templates
- Contribute to the production of the backtesting Shortcuts
- Participation to transversal projects related to credit risk models performance assessment
- Control and validation of GRR (Global Recovery Rate) spreadsheet
- Improvement of existing tools and processes
- Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting

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

BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe's banking history. It has a presence in 68 countries, with around 193 000 Employees - including more than 148 000 in Europe.
- Our presence in Portugal

Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 6.500 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.
- 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: Domestic Markets and International Financial Services for retail banking and specialised financial services, and Corporate & Institutional Banking for corporate and institutional clients.

In its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific.
- Diversity and Inclusion commitment
- In case you are selected for this role, further documentation will be requested to support your hiring process.