About The Job
The role is focused in the Counterparty Risk Pillar, with the key responsibilities being:
* Monitor and review counterparty risk metrics and frameworks, notably regarding collateral envelopes and eligibility, Wrong Way Risk, Bilateral Initial Margin, counterparty risk sensitivities and stress test reports.
* Perform standard counterparty portfolio analysis in preparation for credit annual reviews.
* Analyze & monitor Economic and Regulatory Measures – including Stress Testing – linked to Counterparty Credit Risk on a global scope of counterparties.
* Set up controls around data quality issues detection and propose initiatives for their remediation.
* Propose system enhancements for counterparty risk monitoring: work with IT teams on projects to digitalize and improve counterparty risk production and explanation.
Your Main Activities Are
* Contribute to the risk management tasks of the team, such as supporting Business and Credit officers on limits and envelopes monitoring, reporting to RISK senior management, stress testing, counterparty risk analysis, etc.
* Monitor counterparty risk exposures on different perimeters (OTC, Clearing, Prime Brokerage, etc.) and through different metrics (Stress tests, VaR, Greeks, Margins, etc.)
* Produce regular risk monitoring reports and contribute to counterparty risk forums.
* Understand the origin of the exposures and the different calculation mechanisms.
* Implement and monitor relevant stress tests regularly and on an ad-hoc basis.
* Monitor market risk sensitivities by counterparty.
* Interact regularly within business and Credit teams to share information.
Play an active role in innovative and transformative actions undertaken in RISK Market and Financial Institutions, collaborating with other teams to enhance tools and processes.
Contribute to ad-hoc projects, such as stress testing or analyzing the impact of new regulations.
Continuously challenge existing practices to find better solutions, including risk systems processes and counterparty risk methodologies.
Profile And Skills To Success
* Bachelor's degree (3-5 years) in Applied Mathematics, Data Science, or Finance.
* Knowledge of derivatives instruments and associated risk drivers.
* Ability to react quickly and precisely in high-pressure trading situations with Front Office interactions, requiring a structured and resourceful approach.
* Understanding of credit risk metrics (EAD, PD, etc.) and exposure metrics (Stress Tests, VaR).
* Strong communication skills, both written and verbal.
* Well-organized, analytical, and steady personality.
* Solid technical skills, including proficiency in VBA, and experience with programming languages such as Python or R; SQL knowledge is a plus.
Seniority level
* Not Applicable
Employment type
* Full-time
Job function
* Finance and Sales
Industries
* Banking and Financial Services
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