Global Markets Securities & Resources Analyst – Strategy & Risk

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Não especificado
Licenciatura

Our client is a leader in banking and financial services that can offer you an exciting and trully global career. Is one of the euro zone’s leading banks, strongly positioned in its two core businesses – Retail Banking, Corporate & Institutional Banking – and present worldwide.

Mission: Provide support to GM Resources onshore team on the management of resources and the monitoring of future regulations

OBJECTIVES

Within Global Markets, S&R Global Markets Resources Management (GMRM) is in charge of 2 core mandates:

  • Risks: second level monitoring of all risks related to financial transactions, and more particularly counterparty risk
  • Financial Resources: management of capital, balance sheet and leverage ratio

GMRM’s DNA:

  • A Front Office team
  • A combination of several areas of expertise
  • Independence from the different Global Business Lines
  • Transversal to all activities and regions

RESPONSIBILITIES

Contribute to the implementation of the new market risk framework, the FRTB (Fundamental Review of the Trading Book)

FRTB Standardised Approach:

  • Perform first level analysis of the source data and processes.
  • Monitor weekly capital charge: in particular, focus in some key parameter of the SA charge such as index positions, curvature charge, and main risk market movers.
  • Perform impact analysis on specific FRTB SA methodology topics, such as different aggregation methodologies for the rates charge, impact of updates and changes on quantitative models (credit vs rates models, curvature topics), impact analysis on proxies used, study scope impact and perimeter extension.
  • Understand and analyse capital charge trends, build reporting and investigation tools, work in the potential optimization of the capital charge.
  • Support Risk validation and documentation of the processes and models.
  • Test and enhance the new end-user tool developed for SA charge reporting.

P&L Attribution: various responsibilities around new internal model test (i.e.“P&L Attribution”):

o Analysis: the candidate will perform 1st level analysis of daily Unexplained P&L (difference between Hypothetical P&L and Risk Theoretical P&L) for all desks of Global Markets. He will provide categorisation of issues discovered and will be responsible to address the issues to the relevant teams in London and Paris in charge of resolution (GM IT, Risk GM, Risk Systems, SIGMA etc.) and provide follow-up.

Reporting:

  • Create a daily report showing P&L Explain metrics for all desks and residual Unexplained P&L. a red/green status will display if Unexplained P&L has been understood or not.
  • Monthly report showing status of the desks “Pass”/”Fail” and statistics on categories of issues (methodology, market data, technical etc.). This report will serve as a continuous monitoring of quality of data and improvements performed to improve P&L Attribution test.
  • Ad-hoc report: “What if” metrics displaying P&L Attribution test using alternative risk-based calculation, in order to provide a comprehensive status of a given desk after resolution of a methodological issue.
  • Database: contribution to a production database containing all categorisation of Unexplained P&L made on a daily basis together with adjustments performed to solve technical issues. Adjustments will follow a strict process in order to reflect the technical issues only.

The team will be managed both by the local Lisbon structure and by a Paris based manager.

STRENGTHS

  • 1-2 months initial training period, in Paris and London
  • Strong daily interactions with the quantitative and engineer profiles of the Paris and London team
  • Becoming an expert over the whole range of financial products, their behaviours and risks
  • Leveraging on mathematics and programing skills to carry out risk analysis

PROFILE

  • Master’s degree or higher in Engineering, preferably with a major in Applied Mathematics and Finance
  • Good knowledge of programming languages (Python, R, VBA, SQL, ,etc.)
  • Analytical and quantitative skills
  • Excellent knowledge of Excel
  • Ability to process large amount of data and make extractions from various systems
  • Ability to communicate clearly in both oral and written form (in English)
  • Precision and rigorousness
  • Reliability and capacity to deliver
  • Autonomy and proactivity
  • Team spirit and ability to work with others

Job location: Lisbon, Portugal

Please, send your CV.

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