Senior Risk Quantitative Analyst | Risk
Summary
The Senior Risk Quantitative Analyst monitors and optimizes internal risk models for market, credit, and counterparty risks within a banking environment. The role involves performing backtesting, model calibration, and presenting results to stakeholders using SAS, Python, and C++.
ROLE AND MISSIONS
Within the Risk Division, the "Enterprise Risk Management" (ERM) department is notably responsible for the definition and development of all risk models:
- Market, Credit, Counterparty, and Operational Risks.
- IFRS9 Provisions.
- Fair Value Adjustments and AVA (Additional Valuation Adjustments).
- Stress Tests.
- Economic Capital.
As a Risk Quantitative Analyst, you will be responsible for monitoring the performance of risk measurement methodologies and models (Credit, Market, and Counterparty) in a dynamic international environment, fostering constant communication with Risk Experts and the Front Office.
As part of your daily responsibilities, you will be required to:
- Monitor the performance of internal models in compliance with the procedures established by ERM Paris and supervisor guidelines.
- Optimize analysis tools and methods to ensure increased efficiency during model monitoring, particularly through regular backtesting exercises.
- Present performance monitoring results at Model Ongoing Monitoring committees both within GFS and at the BPCE Group level.
- Ensure procedures are kept up to date and coordinate the review of backtesting results with the Validation teams, in collaboration with quantitative analysts based in Paris.
- Perform the necessary calibrations following the conclusions of the backtesting exercises.
You will work in an international environment, within a community of experts that places excellence, impact, and collective action at the heart of everything it does.
Who are you? If you recognize yourself in the following description, you are made to work with us:
- Holding a higher education degree (Master’s/PhD or equivalent) in statistics and mathematics (engineering school or university equivalent with a specialization in Data Science).
- You have a proven experience (between 2 to 5 years) in the field of risk on technical and regulatory aspects in a banking environment (preferably in Corporate and Investment Banking) and/or in consulting.
- You have a good knowledge of:
- Mathematics, statistics, and econometrics, supplemented by a good knowledge of SAS, Python, and C++.
- Banking business lines such as financing products or market products.
- Regulatory requirements (EBA guidelines, CRR3, CRR4, etc.).
- You possess:
- Synthesizing skills, rigor, strong writing and oral presentation skills, and autonomy.
- Excellent interpersonal skills, particularly facilitating communication and the presentation of work results to decision-makers, as well as great listening skills.
- Good level of English
We will only be accepting CV in english.
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.