Market Risk Stress Test Analyst

Employment contract:



Lisbon, Lisbon, Portugal





About the job

  • The Market and Counterparty Risk Analyst is in charge of monitoring, analysis and reporting of market and counterparty metrics related to risks held in the trading portfolios of the bank
  • ​Additionally, is responsible for ensuring the data quality of the metrics produced to monitor such risks and to participate to the continuous improvements of the monitoring, analysis and reporting framework of such metrics

Your Main Activities Are

  • Monitor and report market metrics as Value-At-Risk (VaR), Stressed Value-At-Risk (sVaR) and Incremental Risk Charge, key sensitivities and stress tests
  • ​Monitor and report counterparty metrics as collateral envelopes, wrong way risks, bilateral initial margin, counterparty risk sensitivities and stress test reports, CCPs and the clearing risks
  • Analyze, review, report and escalate breaches of market risk limits and investigate counterparty limit excess events in accordance with the relevant limit procedures
  • ​Support client-facing teams when simulating new transactions impacts on existing exposures notably when such transactions add or create a limit excess
  • Control the quality of the data used in the various metrics under responsibility, participate to issues resolution with data owners team and activate levers with internal data stakeholders and owners to escalate unresolved issues
  • Alongside other stakeholders, participate to the periodic analysis, review, reporting and possibly sign-off of different regulatory or capital related metrics as French Banking Law and Volker Rule, P&L Explain, regulatory Stress Tests, counterparty exposures, specific Wrong Way Risks, CVA Value at Risk
  • Participate to the agenda and content of regular forums such as market risk limit committees, client clearing main positions, collateral forums
  • Coordinate and participate to the regular review of the limits calibration, related framework and procedures reviews and improvement
  • ​Coordinate and participate to the regular review of the counterparty risk representations of transactions not adequately represented by the implemented methodology

Profile and Skills to Success

  • Masters Degree in Mathematics / Science / Finance / Economics or related
  • Up to 2 years of relevant experience     
  • Advanced level of English, both written and oral
  • Knowledge in
    • IT Languages (Python)
    • MS Office Pack (Excel, PowerPoint)
  • Attention to deliver / results driven
  • Organisational skills
  • Ability to collaborate / teamwork
  • Communication skills, both written and oral


Why joining BNP Paribas?

· Leading banking institution

BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe’s banking history. It has a presence in 65 countries, with around 190 000 Employees – including more than 145 000 in Europe.

· Our presence in Portugal

Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 7.100 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

· International reach

Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients with financing, investment, savings and protection solutions that help make their projects a success. BNP Paribas holds key positions in its three core operating divisions:

·       Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines

·       Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services.

·       Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional client.

· Diversity and Inclusion commitment

BNP Paribas is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.

· Commitment towards work/life balance

At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.

· Remote Working Conditions

At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.

To find out more on why you should join BNP Paribas visit

* Please note that only applications submitted in English will be considered.

* In case you are selected for this role, further documentation will be requested to support your hiring process.