XVA Risk Analyst

About the job

Provide support to onshore team XVA RPLM (Risk, Profit&Losses and Methodology) on the daily production of xVAs, xVA sensitivities, xVA P&L and xVA P&L explain.

xVAs are Valuation Adjustments for derivatives reflecting the additional costs for the bank to hold derivative contracts. The main xVAs are:

• CVA: adjustment for Counterparty Risk
• FVA: adjustment for Funding cost
• ColVa: adjustment for “non-perfect” Collateral Agreemen

Your Main Activities Are

1.  Daily production of xVA P&L and XVA P&L explain, including monitoring CVA/FVA/ColVA calculations and delivering risk metrics and reports to the trading desk.
2. Validate market risk and credit risk sensitivities for the xVA desk and ensure they are correctly inputted into internal systems, meeting regulatory and methodological requirements.
3. Ensure that xVA sensitivities and P&L explanation data are correctly and timely fed into internal systems, maintaining data accuracy and consistency.
4. Produce and present monthly xVA reports and participate in related meetings to discuss results and insights.

1. Interact with xVA IT team and xVA research team to suggest improvements
2.  Industrialisation of all IT processes
3.  Improve quality of P&L explain
4. Set up new risk reports in Excel or Python

Profile and Skills to Success

• Master’s degree or higher in Engineering, Applied Mathematics, Finance or similar areas (preferential)
• Good knowledge of programming languages (i.e. Python, VBA, SQL)
• Excellent communication skills (in English)
• Good knowledge of Excel 
• Ability to extract and process large amounts of data 
• Analytical and quantitative skills
• Proactive and capacity to deliver results with precision and rigor
• Team spirit as well as ability to work autonomously
• Ability to collaborate / Teamwork
• Ability to deliver / Results driven
• Attention to detail / Rigor
• Decision Making
• Analytical Ability
• Knowledge of valuation of financial products
• Transversal Financial Markets
• Business Analytics
• Risk analysis

#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: 

• 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

BNP Paribas is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.

· Commitment towards work/life balance

At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.

· Remote Working Conditions

At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices. 

To find out more on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal

* Please note that only applications submitted in English will be considered. 

* In case you are selected for this role, further documentation will be requested to support your hiring process.