As a member of Solvency Calculation team in Porto you will be in charge of auditing market risk indicators calculated under the current framework (standardized and internal model approach) and the target FRTB framework.
Key Responsibilities:
- Calculate and analyse solvency metrics across all relevant perimeters, including Credit Risk, Counterparty Risk, Market Risk, CVA and Large Exposures. Contribute to the production process, financial communications and ad hoc reporting, ensuring compliance with regulatory requirements and internal policies while providing insights to support decision-making.
- Perform first-level controls during production cycles and formalise the control framework for monthly and quarter-end closings to ensure the accuracy and reliability of regulatory indicators. Identify and escalate issues and risks to the appropriate stakeholders.
- Conduct case-by-case analyses for internal and external stakeholders, including the Risk Department, the LOD2 team and Groupe BPCE. Explain variations and trends, and propose action plans to mitigate risks and improve performance.
- Enhance in-house calculation tools, ensuring they remain reliable and aligned with evolving business and regulatory requirements. Identify opportunities to simplify and improve the calculation environment by streamlining processes, automating recurring tasks and strengthening data quality and controls. Work with relevant stakeholders to define and implement enhancements, support testing and deployment, and promote the efficient and consistent use of the tools.
- Draft and maintain operating procedures and control documentation to reflect evolving regulations and internal policies, and to improve the efficiency and effectiveness of regulatory reporting processes.
- Academic background in Economics, Finance, and Management;
- Fluent English (mandatory);
- Banking Regulatory Calculation experience;
- Knowledge of MS Office (Excel), Power BI, Regulation or norms;
- Knowledge of Banking Accounting;
- Result oriented;
- Team spirit & transversally;
- Proactive and Rigorous;
- Curiosity and autonomous thinking.
We will only consider English cv's.
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