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Counterparty Risk Backtesting

2024-07-09 Lisboa Finanças, Contabilidade, Auditoria Ref: 155-002739-1


We are recrutiting one resource to work within the Risk GS Team, with the following requirements:
 
Role: Counterparty Risk Backtesting / Model Performance Analyst
Seniority: 2 – Experienced
Mission starting date: 01/09/2024
Duration: 9 months to 1Y
Location: Oporto (preferably) or Lisbon
 
Job description:
To identify lack of model performance using statistics defined in the back-testing methodology.
To analyze and document the results, deep dive analyses are performed, built on good understanding of the risk models and strong cooperation with risk modelling and risk management teams.
To communicate results to the regulator and relevant internal teams such as model validation team and capital team.
The candidate will be responsible for a set of model performance processes. She or he will coordinate with all the relevant teams to present on a periodic basis to RISK senior management a consolidated view of the bank’s model performance.
Processes rely on rigorous governance supported by procedures and meetings and on strong interaction with other teams throughout BNP Paribas Group.
 
Main Tasks:
 Run, analyze, explain and present the key take-aways related to various CCR Backtesting reports, used for both risk management and regulatory purpose                           
contribute to the continuous improvement of the CCR Backtesting framework linked to both BAU requirements and strategic initiatives (scope extension, data rationalization and feed optimization, performance improvements, enhanced analysis tools...)                           
 
Technical Skills:
Good understanding of counterparty risks                                     
Good understanding of backetsting techniques                            
Python (nice to have, but not a blocker)

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