Quantitative Risk Analyst - ERM, Porto Porto

Quantitative Risk Analyst - ERM, Porto
Porto
Porto, Porto District, Portugal

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Within the Risk Management department, the "Enterprise Risk Management" (ERM) team is responsible for defining and developing all risk models, including:

• Market, Credit, Counterparty, and Operational Risks
• IFRS9 Provisions
• Fair Value Adjustments and AVA
• Stress Tests
• Economic Capital

Main tasks and goals:

As a Quantitative Risk Analyst, you will be tasked with monitoring the performance of risk measurement methodologies and models (Credit, Market, and Counterparty) in a dynamic international environment, fostering constant exchanges with Risk Experts and the Front Office.

In your daily responsibilities, you will be required to:

• Monitor the performance of internal models in compliance with procedures established by ERM Paris and supervisory guidelines.
• Optimize analysis tools and methods to ensure increased efficiency in model monitoring, particularly through regular backtesting exercises.
• Present performance monitoring results during model oversight committees (Model Ongoing Monitoring) both within GFS and at the BPCE Group level.
• Ensure the updating of procedures and coordinate the review of backtesting results with Validation teams, in collaboration with quantitative analysts based in Paris.
• Perform necessary calibrations following the conclusions of backtesting exercises.

You will work in an international environment, within a community of experts who prioritize excellence, impact, and collective action in everything they undertake.

Qualifications

• Higher education degree (Master's/Ph
  D or equivalent) in statistics and mathematics; engineering school or equivalent university with a specialization in Data Science)
• +2 years of experience in Risk (focusing on technical and regulatory aspects in the banking sector - preferably in Investment Banking) and/or consulting.
• Advanced knowledge of Mathematics, statistics, and econometrics, complemented by excellent knowledge of SAS, Python, and C++ (will be a plus)
• Fluency in English (mandatory)
• Knowledge of banking operations (such as financing products or market products)
• Knowledge of Regulatory requirements (EBA guidelines, CRR3, CRR4, etc. )
• Advanced knowledge of Excel; Power BI; Pivot
• Strong analytical skills, rigor, excellent written and oral presentation abilities, and autonomy
• Great interpersonal skills that facilitate communication and presentation of work results to
  - makers, along with strong listening abilities

We will only consider English CV's.