Senior Econometrics Analyst | Risk

Location: Portugal, pt

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.  

As part of Groupe BPCE’s international division, Natixis in Portugal designs and delivers solutions for its two core areas – Corporate & Investment Banking and Asset & Wealth Management – as well as transversal services that support all entities across the Group.  

With more than 3,000 employees representing 46 nationalities, the teams work across Information Technology, Banking Support Activities, and Compliance, in an integrated, inclusive, and cross-functional way, supporting all business lines and platforms of the Group.  

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. 

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.

Within Market Risk, Econometrics is in charge of providing econometrics (market data spot and projection over various time horizon according to risk methodologies) to all Risk systems and tools, including: 

• Market risk measurement tools: VaR, stressed VaR, IRC 
• Counterparty risk measurement tools: CVA, EEPE, etc.

The analyst will be in charge of producing econometrics data, which consists in updating and evolve risk factors used. He/She will be in charge of improving risk measures quality by: 

• Putting in place data quality indicators (anomaly detection, statistical estimates, etc.) 

• Completing and correcting market data historical series 

Main tasks and goals:

The analyst will intervene on risk factors and market data across all asset classes (rates, credit, treasury, fx, equity, commodities). He/She will actively participate in all duties of econometry teams, in particular: 

• Market data and sourcing processes quality monitoring 
• Review and completion of market data historical series used to calibrate risk factors used in existing risk measures VaR, IRC, sVaR, etc. 
• Review and completion of market data historical series used to calibrate risk factors used in new risk measures, in particular as part of FRTB project (VaR, ES, etc.) 
• Reinforcement of risk measures secured delivery and quality 

He/She will work in close collaboration with multiples departments within and outside the Risk Division: 

• He/She will work closely with other Market Risk teams (market data certification team and market risk analyst teams in charge of risk indicators certification) 
• He/She will be in relation with Front-Office with regards to risk axis modelling as well as with Risk IT teams with regards to econometric data monitoring and analysis tools development projects  
• He/She will be in relation with the teams in charge of the methodology definition

Qualifications

• Master’s in finance, Engineering, Mathematics / Statistics;
• +3 years experience in Econometrics / statistics;
• Familiar with at least one of the segments from : Equity, Credit, Rate, Commodities, FX.
• +3 Experience in Market Finance and/or Market Risk;
• English fluency (mandatory);
• Notions of Derivatives product valuation techniques;
• Advanced knowledge of Gauss statistics and variance analysis methods;
• Advanced knowledge in R / VB code languages in statistical analysis context;
• Knowledge in Linux / Windows systems environment (is a plus).

We will only consider English CV's.

Additional Information

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.