Quantitative Risk Analyst

Preparing his new area of RISK in Lisbon, our client, an international corporate and investment banking is now recruiting his entire Back-Office to work as the first-line of support of the Risk Area.

Specifically, this role within the RISK Global Markets Quantitative Team will have the following responsibilities in collaboration with the global Quant Team:

• Preparation of annual model reassessment and model re-review (model scope, performance, cartography, benchmarking, impact…)

• Maintenance and continuous development of model performance monitoring framework

• Review of GMQR system releases coordinating with GMQR and IT

• Review and control of model use and setup (model configuration, product-model-mapping control…)

• Maintenance and continuous development of the official model logs and repositories (approvals, performance, scope and restrictions, documentation…)

• Coordination of interactions of valuation model approvals with other internal and external approval processes (interactions with Market/Counterparty Risk Model approvals, regulatory approvals for example)

PROFILE

• Experience between 1 to 5 years in relevant areas (Data Science, Quantitative and Risk Analysis)
• Knowledge of derivatives instruments and associated risk drivers is a must and experience with simulation models (Monte-Carlo, interest rate, FX models, among others)
• Strong programming skills in R and / or Python
• Solid Excel / VBA
• Programming languages, such as javROLE data sascript, jQuery are a plus
• Knowledge in Machine Learning
• Ability to react quickly but precisely in high pressure trading situations with Front Office interactions, requiring a structured approach and resourcefulness
• Deadline oriented

If you're looking for an opportunity to join a new dynamic and international organizational environment in the Banking Sector, don't forget to send me your CV in English.