Senior Market Risk FRTB Analyst

About the job

• The role of Senior Market Risk FRTB Analyst is primarily to ensure the coordination, reliability and compliance of regulatory and internal capital production for market, counterparty and settlement risks for the BNPP Group, as well as additional thematically-linked deliverables relating to Resources Management. The team are ultimately responsible for the official calculation, associated analysis / explanation and reporting of Market, Counterparty and Settlement Risk RWA, and additionally for updates of forecasts and simulations delivery, alongside related regulatory demands (such as QIS)
• RISK MFI MI – Capital and Resources is responsible for ensuring that existing (Basel III) and future (Basel IV, Fundamental Review of the Trading Book (FRTB)) capital-related methodologies and procedures are implemented consistently at Group level and guide consistent implementation at Legal Entity levels, across locations and business lines

Your Main Activities Are

• The senior market risk Capital analyst is primarily in charge of the FRTB transition to BAU as well as the supervision of (and contribution to) the production and reliability of the Capital figures for market risk under the current framework. The scope under management is large, mostly covering the whole BNPP  Group for both standard (FRTB SA) and advanced approaches
• With a close collaboration with their team, the senior analyst contributes to the development and implementation of a proper analysis framework allowing to understand the dynamic of the elementary FRTB metrics (Internal Model Approach / Standard Approach) and allowing the team to report and explain those metrics to Businesses, Group Finance and senior management
  1. Quantitative Impact Study (QIS) and pre-Production: Manage/coordinate the contribution to the QIS exercises and the pre-production taskforce to deliver accurate and timely Capital figures under FRTB framework. Contribute to the setup of the production process and associated needed controls. Prepare and maintain supporting procedures and methodologies
  2. New Analysis framework: Contribute to the setup of dedicated dashboards and reports to to deliver the information to management, businesses and Finance. Contribute to the operational insertion of the new analysis framework with contributions from RISK MFI and Sigma teams to allow adequate monitoring and capacity to understand the dynamic of the FRTB metrics
  3. Production: Supervise the official market risk capital production to ensure accuracy of the figures as well as the the analysis of the VaR, SVaR and IRC dynamic
  4. Lead the contribution to the bi-monthly Financial Market Risk Committee (FMRC). Contribute to the production of other relevant / on demand reports to the Board and to Group, Businesses and RISK Management, as well as requests from ratings agencies, regulators and auditors
  5. Contribute to the regulatory reporting of Capital figures, with a dedicated focus on FRTB framework
  6. Contribute to the setup and operational insertion of the FRTB analysis framework. Act as a point of contact with Businesses and FINANCE teams with regards to market risk Capital topics
  7. Ensure team’s internal documents (operational procedure, methodological document and control plans) are maintained up to date under the applicable governance
• The role is ideal for collaborative individuals with technical skills, financial risk interest and attention to detail. The role gives you a holistic experience of being a risk management professional with capacity to discover and get acquainted of current and future regulations

Profile and Skills to Success

• Bachelor Degree in Mathematics / Finance / Engineering or related
• Up to 2 years of relevant experience in Regulatory and Financial reporting
• At least 3 years of relevant experience in Market Risk          
• Advanced level of English, both written and oral
• Knowledge in Python
• Attention to detail / rigor
• Analytical ability
• Communication skills, both written and oral
• Client focused
• Proactivity 

#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.