Risk Monitoring

We operate as a consulting service firm since 2013 and offer specialized consulting services to clients in the financial and information technology sectors.

We are currently looking for a Risk Monitoring to integrate one of your project teams in Porto .

Main tasks :

• 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, analysing, 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 the market risk reserves and reporting their variation and level, monthly;
• Computing on a quarterly basis the Prudent Value Adjustment on Market Price Uncertainty, Close-OutCosts, 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.

Requirements :

• Master’s degree on Finance/Economics/Engineering/Mathematics;
• Market Risk (1-3 years);
• Project Management (3+ years);
• Change Management (3+ years);
• Excel (advanced knowledge);
• Autonomy, Communication, Energy, Rigorous;
• English (mandatory);
• French (preferred).

**AskBlue | Business & Technology