Securitisation Portfolio Management Analyst

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About The Job

• This role is part of the newly created Portfolio Management Oversight team, within RISK Corporate Securitisation, which includes Credit Decision (in addition to SCOs), Independent Portfolio Analysis, Stress Testing & Management Information Reporting, 2nd Lo
  D PM Check & Challenge of 1st Lo
  D PM.

Your Main Activities Are

• Providing RISK oversight to the wind‑down of legacy ABS Portfolios of the bank, which includes undertaking quarterly IFRS9 provisions committee reviews, provision analysis and recommendations in liaison with the Business contributors within CIB
• Production of quarterly IFRS9 Cost of Risk computations & periodic stress testing
• Contribution to stress testing of Risk Weighted Assets, for securitisation positions
• Prudential valuation and liquidity reserve computation
• Other ad hoc roles defined from time to time
• Over time, key responsibilities will shift towards portfolio management, which include the following:
• Monitoring of existing transactions, which include a critical look over transactions’ metrics and limits, identification of performance trends and seeking allocated analyst’s opinion to clarify any observed trend and/or breach of limits. This also includes the identification of key trends of the portfolio by asset class
• In terms of reporting to different stakeholders, liaise with specialists of each asset class in order to obtain the latest update for that asset class. With time and knowledge of the portfolio/market, be able to provide such comments. These comments and/or dashboards should be provided in a timely manner, in addition to being accurate and relevant for each stakeholder
• Regarding annual reviews of transactions, provide yearly calendar of annual reviews and be in constant contact with Business to prevent overdue annual reviews and proposals being delivered with sufficient time before deadline
• For quarterly portfolio reviews, be responsible, on RISK side, for the review of the materials sent by Business and identification of potential signs of deterioration and/or mistakes in data (and seek its correction if needed). In addition, person will be responsible for preparation of minutes of quarterly reviews’ meetings

Profile and Skills to Success

• Bachelor’s Degree in Economics / Finance / Accounting / Mathematics / Statistics or related
• At least 3 years of experience in Financial Analysis / Advisory or similar
• Advanced level of English, both written and oral
• Knowledge in
• MS Office Pack (Excel, Power
  Point)
• IFRS9 and provisions computations
• Familiarity with Basel
  III/IV, CRR II, EBA Guidelines on securitisation, FCA/ECB supervisory expectations, AP/ILAAP and the overall risk management framework
• Experience working with Internal Audit, Compliance and external regulators on risk related matters
• Proficiency with risk‑systems (e. g. , Moody’s Analytics, SAS Risk, Bloomberg, internal risk data‑warehouse)
• Understanding of data‑quality frameworks, version‑control, model‑risk‑management (MRM) processes and documentation standards
• Experience building and maintaining large‑scale data sets; proficient in SQL, Python/R, SAS, VBA/Excel, and data‑visualisation tools (Power
  BI, Tableau)
• Advanced quantitative skill‑set – statistical analysis, correlation modelling, risk‑metrics (PD, LGD, EAD, EL, Va
  R, CVa
  R, Expected Shortfall)
• Experience evaluating credit quality of corporate borrowers, special‑purpose vehicles (SPVs) and/or asset‑backed structures (ABS, CLO, RMBS, CMBS, BTL, etc. )
• Understanding of cash‑flow waterfalls, over‑collateralisation, tranching and waterfall‑priority mechanics
• Ability to help design and run independent portfolio‑level reviews, back‑testing of models and “challenge” the assumptions used by 1st‑Lo
  D PMs
• Attention to detail / rigor
• Ability to deliver / results driven
• Analytical ability
• Communication skills, both written and oral
• Creativity and innovation / problem solving
• Critical thinking
• Proactivity
• Resilience

Outstanding Reasons to Join

• Leading banking institution operating in 63 countries with nearly 183, 000 employees.
• International reach and strong presence in Portugal since 1985.
• Diversity and Inclusion: Equal opportunity employer committed to non‑discrimination on age, disability, gender reassignment, marriage, pregnancy, race, religion, sex, sexual orientation and more.
• Commitment towards work/life balance and flexible remote working conditions.

Equal Employment Opportunity

BNP Paribas is an equal opportunity employer and proudly provides 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.

Seniority level

Not Applicable

Employment type

Full‑time

Job function

Finance and Sales

Industries

Banking and Financial Services

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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.

To find out more on why you should join BNP Paribas visit https://bnpp. lk/why-BNP-Paribas-Portugal