Market Risk Analyst

Company Description

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.

Natixis in Portugal is part of the Global Financial Services division, where it applies technology for the development of financial expertise in its two global business lines – Corporate & Investment Banking and Asset & Wealth Management – and, transversally, for the entities of Groupe BPCE.

The Centre of Expertise, based in Porto, currently has more than 2,400 employees from over 30 nationalities, organised in three main departments: Information Technology, Banking Support Activities and Compliance. These teams work in an integrated, inclusive and transversal way, supporting and creating value for all the business lines and platforms of the group. The project in Porto is one of the biggest investments in Human Resources ever made by Groupe BPCE worldwide.

A disruptive mindset and a culture of proximity and agility identify Natixis in Portugal Team and reflect the company's mission to transform traditional banking at a global scale: a perfect match in the Portuguese dynamics and entrepreneurial ecosystem.

In 2024, Top Employers Institute has awarded Natixis in Portugal the Top Employer Portugal accreditation for the second time. This certification recognizes excellence in people practices, following the example of our head office, in France, who was certified Top Employer France for the eight year in a row.

Job Description

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 be sharing responsibilities on the following topics: 

• Producing and reporting of quantitative Risk indicators such as sensitivities, Specific Stress-Tests, Global Stress-Tests, Reverse Stress-Tests, VaR, sVaR, 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 of 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’ scope of action 
• Reporting of the economic P&L to the relevant departments and stakeholders within Natixis and BPCE 
• Certifying the daily economic P&L and ensure its audit trail, certifying the actual, hypothetical and risk theoretical daily P&Ls, analyzing and explaining the daily/weekly P&Ls variations 
• Producing and analysis 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, control 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 VaR Back testing components and exception reporting 
• Communicating with BLs and RM in case of limits breaches and loss alerts 
• Maintaining up to date referential mapping (e.g. Homologated books / non-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

At Natixis, we are committed to fostering a working environment where each and every one of our people is treated with dignity and respect and where every voice is heard. Our differences make us collectively stronger and are a source of fulfilment, innovation and performance.

In the framework of its Diversity, Equity & Inclusion policy, Natixis in Portugal has implemented a Blind CV Screening process, with the purpose of reducing hiring bias. A blind CV excludes any personal details which refer to the applicant’s gender, age or ethnicity. When applying for our positions, please submit a blind CV, that is, with no picture, name, gender, age, nationality, ethnicity and address. Your personal statement, work experience, courses and certifications, education, skills and contact information is what matters to us.

#MuchMoreThanJustAJob

Early morning. Campo 24 de Agosto. In 4 minutes, you are clocking in at the office. Start your day having breakfast with the Team and grab fresh fruit on the way to your seat, in one of Porto’s most typical neighborhoods. This Purple Day is going to be a busy one: daily meeting ensuring all team members are on the same page regarding work status, priorities and blockers, language class and, just after, a Talent Management meeting with your manager, discussing your career path. 

 Lunch break. Today, your Team is onboarding newcomers, but also welcoming French colleagues: the perfect excuse to walk downtown and bond over a francesinha. When returning, inhale nature and peace of mind in Natixis Urban Garden (look at the crops; ready to harvest!). 

 Back inside. Brainstorming session on a new, exciting project in our disruptive and immersive Manaus Village. The afternoon went flying (tasks, meetings, some jokes with your teammates). End it on a high note: celebrating cultural diversity with a Diwali, the Indian festival of lights. 

 Tomorrow, you attend a conference led by influential speakers in your industry and, the day after, you will work from home, benefitting from some focus time to complete that report and soft skills course on LinkedIn Learning. Once you are done with your work for the day, strike the right note playing with Natixis band or be part of a board games session. If that is too steady for you, meet your colleagues to catch some waves or sail the Douro river during golden hour.