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