Market Risk Analyst Porto

Overview

Natixis in Portugal is a Centre of Expertise whose mission is to transform traditional banking by developing innovative solutions for the business, operations and work culture of Groupe BPCE worldwide. As part of Groupe BPCE’s international division, Natixis in Portugal designs and delivers solutions for Corporate & Investment Banking and Asset & Wealth Management, as well as transversal services that support all entities across the Group. With more than 3, 000 employees representing 46 nationalities, the teams work across Information Technology, Banking Support Activities, and Compliance, in an integrated, inclusive, and
- functional way, supporting all business lines and platforms of the Group.

Natixis in Portugal embraces a disruptive mindset and a culture of proximity and agility to transform traditional banking at a global scale, aligning with the Portuguese dynamics and entrepreneurial ecosystem.

Team presentation and main goal

Market Risk is part of Natixis Risk Division. Market Risk mandates cover Valuation, Risks and Economic performance for the capital market activities of Natixis on all its business lines (mainly Fixed Income, Equity, FX, Credit, Commodities). Within Market Risk, Risk Monitoring of traded Risk has the mandate to control, certify, analyze, and report the market risk metrics and performance indicators.

Main Tasks And Goals

As a Monitoring of Traded Risk Analyst, you will share responsibilities on the following topics:

• Producing and reporting quantitative Risk indicators such as sensitivities, Specific Stress-Tests, Global Stress-Tests, Reverse Stress-Tests, Va
  R, s
  Va
  R, IRC, daily
• Consolidating Risk indicators for Risk Mandate production, daily
• Controlling, analyzing, and certifying all the indicators mentioned above focusing on daily variations as well as intraday moves in respect of the corresponding set of limits
• Producing P&Ls such as economic P&L, actual P&L, hypothetical P&L, P&L Explain, Risk Theoretical P&L, Accrued
• Producing and controlling the Client Contribution on MARPL’s scope of action
• Reporting the economic P&L to the relevant departments and stakeholders within Natixis and BPCE
• Certifying the daily economic P&L and ensuring its audit trail, certifying the actual, hypothetical and risk theoretical daily P&Ls, analyzing and explaining the daily/weekly P&Ls variations
• Producing and analysing of RIM and RIM Back Testing components
• Consolidating Risk Reports sent by international branches (NY, UK, APAC) and advising them when necessary
• Computing on a quarterly basis the Prudent Value Adjustment on Market Price Uncertainty, Close-Out-Costs, Some Model Risk Components such as Mean Reversion, Unearned Credit Spreads and Investing and Funding Costs
• Producing, controlling the SRAB and Volcker indicators under MARPL’s responsibility
• Analysis and controlling limit consumptions, KPIs on Volcker, Data Quality, …
• Producing dashboards for Senior Management (to be validated by the P&O team) on a daily, weekly and monthly basis
• Consolidating all Risk Reports on Natixis and consolidated desks levels on a daily, weekly and monthly basis
• Preparing the relevant portion of support document for the Market Risk Committees
• Production of Va
  R Back testing components and exception reporting
• Communicating with Business Lines and RM in case of limits breaches and loss alerts
• Maintaining up to date referential mapping (e. g. Homologated books /
  - homologated books)
• Consistency checks between day to day processes and the controls/referential
• Producing Regulatory Risk reports (ACPR, JST, …) on a quarterly basis

Qualifications

• Master’s degree on Finance / Economics / Engineering / Mathematics
• +3 years of exposure to one of the asset classes (FI and /or Equity and/or Credit and/or FX)
• +3 years of experience dealing with derivatives products
• Advanced knowledge of SQL; Excel and VBA
• Knowledge of Python (preferred)
• English Fluency (mandatory) and a good level of French (preferred)
• Good and structured communication (oral / written)
• Assertiveness
• Be a team player
• Work under stress
• Initiative taker

We will only consider English Cv's.

Additional Information

Our workplace reflects the vibrant spirit of our locations, with initiatives such as a Green Transportation Budget, electric bikes and a flexible Hybrid Work Policy. We promote wellbeing through the Honolulu Wellness Club, a Prayer Room, a Lactation Room, and themed Villages that inspire creativity and collaboration. Through our ESG and DEI strategies, we are committed to being inclusive, caring, and fair, ensuring every voice is heard and valued.

Seniority level

• Mid-Senior level

Employment type

• Full-time

Job function

• Finance and Sales

Industries

• Banking

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