Quant/ Data Scientist Stress Testing | Corporate Bank
Sobre a vaga
The team named STFS, for Stress Testing and Financial Synthesis, coordinates the strengthening of the Banks’s Stress-Testing (S/T) and planning capabilities so as to better serve Business Lines, Legal Entities and Group needs and meet supervisory requirement on these matters, and in a cost-efficient manner.
To that effect, STFS aims at building a flexible, industrialized, central utility accessible by the Banks Business Lines and Entities (B/E) for their local needs and their contribution to Group exercises. STFS offers an integrated S/T service to B/Es to support them in capitalizing on the shared framework for their local needs.
STFS is also responsible for executing all Group-wide, comprehensive stress testing exercises, whether regulatory or internal
The Transversal STMM (Stress Testing Methods and Methodologies) team is in charge of implementing the holistic approach to stress testing, dealing with interactions between the various components, defining shared practices, and coordinating transversal works. The transversal team will be strongly involved in the RISK Anticipation governance, and work closely with other teams of STFS, gathering the full view on model roadmap and capabilities, in the implementation of the stress testing target operating model. The team focuses on market, operational, securitization and CCP risks leading transversal topics such as the review of the Internal Capital calculation and the implementation of a comprehensive Reverse Stress Test methodology.
ROLE AND RESPONSABILITIES
- Monitoring STFS and Group for questions about Stress Test models and calculation engines that you have developed
- Be a pilot in the development of the Python library on Stress Test models using Machine Learning / artificial intelligence. This involves building the architecture of the new library module in collaboration with the team members in Lisbon and Paris
- Understanding and managing risks figures based on Bank internal Risk and FO tools
- Bring innovative approaches to find solutions
- Contribute to the definition of Stress Test models on different perimeters (Market, Operational Risk, Credit, Liquidity, etc.) by specific studies
- Documenting key procedures and controls
- Carrying out any other task associated with the role as reasonably requested.
The candidate will be reporting to the head of STFS Lisbon team.
· Minimum of 2 to 5 years of successful experience in Market Risk or Front Office quantitative role
· Strong academic background, with at minimum a Master degree in applied Mathematics, Engineer, Sciences
· Knowledge in financial modelling with successful experience in Market environment (FO Quantitative Analyst, Market Risk Management, Market Model Validation, …)
· Strong background in programming with ability to code in Python, C# and use of external packages.
· Knowledge of BCBS regulations, CRDIV/CRR, EBA Guidelines, FRTB. Understanding of Management control principles would be much appreciated
· Languages: English fluent