MI Quantitative Models Analyst
- The Market Infrastructures (MI) Quantitative Models Analyst’s main mission is to act as a center of quantitative expertise regarding market infrastructure entities, conducting annual and interim reviews of margin call algorithms and their risk management mechanisms while leading the periodic quantitative due diligence on the entity in own portfolio
Your Main Activities Are
- Quantitative assessment:
- Monitor and control the risk facing margin algorithms put in place by market infrastructure entities, considering among others the use, hypotheses, suitability, calibration and performance
- Understand the risk drivers of the margin models and their interactions with the portfolios and market parameters
- Analyze the inherent model risk by parallel building the model when information available permits it, quantifying errors and their significance
- Maintain a continuous and sound dialogue with the Credit Officers
- Quantitative opinion contribution:
- Provide a timely quantitative assessment on the robustness of the margin models to help the Credit Officers (CO) form a holistic opinion regarding the market infrastructure entity
- Present the quantitative assessment at the relevant credit committees deciding on the market infrastructure entity in own portfolio
- Risk monitoring:
- Monitor the portfolio of counterparties under own responsibility, jointly with CO, and detecting any quantitative issues that may require a specific review
- Drive the necessary changes to work towards a more robust risk management platform in the market
Profile and Skills to Success
- Master’s degree in Mathematics and Statistics, Engineering, Manufacturing and Construction or any related fields
- Up to 2 years of experience in Data Analytics or Risk and Controls
- Great communication skills with fluency in English both oral and written
- Knowledge of Python
- Critical thinking with the ability to develop and adapt a process
- Analytical ability with an innovative problem solving approach
Why joining BNP Paribas?
- Leading banking institution
- Our presence in Portugal
- International reach
- Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines;
- Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services;
- Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional clients.
- Diversity and Inclusion commitment
- Commitment towards work/life balance
- Remote Working Conditions
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