Market & Counterparty Risk Capital Analyst

Employment contract:



Porto, Porto District, Portugal





About the job

The mission of RISK Market & Financial Institutions (“RISK MFI”) is to provide the Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) and of BP2S with full transparency and dynamic analysis and monitoring of market, counterparty, valuation and liquidity risks originated and managed by CIB and of credit risks on Financial Institutions in order to assist them in their risk decision making and monitoring.

About the team

RISK MFI Management Information (MI) – Capital and Resources ensures the coordination, reliability and compliance of regulatory and internal capital production for market, counterparty and settlement risks for the BNPP Group, as well as additional related thematically-linked deliverables.The team are ultimately responsible for the official calculation, associated analysis / explanation and reporting of Market, Counterparty and Settlement Risk Weighted Assets (RWA), and additionally for updates of forecasts and simulations delivery, alongside related regulatory demands.

Your Main Activities Are

The market risk Capital analyst is primarily in charge of the production and reliability of the Capital figures for market risk under the current framework across BNP Paribas.

The analyst drives the analysis of the market risk Capital figures dynamic and the reporting to Businesses, Group Finance and senior management.

  • Production: Manage/coordinate the production taskforce to deliver accurate and timely Regulatory Capital figures for market risks based on the implemented procedures and methodologies.
  • Analysis and Explains: Coordinate/develop/prepare Capital explain with contributions from RISK MFI teams to explain past variations. Analysis of the Value at Risk is one of the main duty of this role and will require interactions with a number of other teams
  • Contribute on related topics to the production of the bi-monthly Financial Market Risk Committee (FMRC). Contribute to the production of other relevant / on demand reports to the Board and to Group, Businesses and RISK Management, as well as requests from ratings agencies, regulators and auditors
  • Contribute to the regulatory reporting of Capital figures, for both Basel 2.5 and Fundamental Review of the Trading Book (FRTB) capital frameworks
  • Contribute to the setup and operational insertion of the FRTB analysis framework. Act as a point of contact with Businesses and FINANCE teams with regards to market risk Capital topics
  • Ensure team’s internal documents (operational procedure, methodological document and control plans) are maintained up to date under the applicable governance.

The role is ideal for collaborative individuals with technical skills, financial risk interest and attention to detail. The role gives you a holistic experience about risk management and allows to manipulate and analyse large amount of data in order to deliver value-added analyses.

Profile and Skills to Success

  • Postgraduate in Mathematics, Finance, Engineering or Similar
  • Experience in Market Risk (0 – 5 years)
  • Regulatory and Financial reporting (0-2 years)
  • IT Languages (Python (Beginner)
  • Fluency in English 
  • Communication Skills – Oral & written
  • Proactivity
  • Attention to detail/rigor
  • Analytical Ability
  • Client focused