Senior Quant Risk Analyst – CCP Model Challenge

Cassa di Compensazione e Garanzia S.p.A.; Roma; Híbrido; EUR 45.000 - 50.000; Jornada completa

Descripción de la vacante

Cassa di Compensazione e Garanzia S.p.A. in Rome is seeking a Senior Quantitative Risk Analyst to join the Risk Oversight & Controls (LOD2) function. The role focuses on independent model challenge, EMIR testing, and regulatory compliance across margin and risk frameworks.

You will assess model behaviour, identify weaknesses, and contribute to the continuous improvement of testing methodologies while interfacing with senior stakeholders.

Formación

• Degree in Mathematics, Physics, Engineering or Quantitative Finance.
• Strong understanding of financial risk concepts.
• Solid analytical mindset capable of questioning models.
• Good programming skills (Python preferred) for data analysis.
• Ability to work independently on complex problems.

Responsabilidades

• Model Challenge: independent challenge of Initial Margin, Default Fund and risk frameworks.
• Analyze model assumptions, limitations and behaviour under stressed and non-linear market conditions.
• Identify weaknesses and propose improvements, recalibration or redesign.
• Contribute to structured reviews of new models, parameter changes and new business initiatives.
• EMIR Tests & Quantitative Validation Activities: backtesting, sensitivity analysis, backward stress testing.
• Analyze results with critical view on model performance, stability and procyclicality.
• Support interpretation of outcomes and escalation of key findings.
• Contribute to continuous improvement of testing frameworks and methodologies.
• Design and perform quantitative controls on margin, default fund and key risk metrics.
• Develop anomaly detection approaches and investigate outliers as needed.

Conocimientos

Analytical mindset

Python programming

Independent problem solving

Educación

Degree in Mathematics, Physics, Engineering, Quantitative Finance

Descripción del empleo

Cassa di Compensazione e Garanzia S.p.A. in Rome is seeking a Senior Quantitative Risk Analyst to join the Risk Oversight & Controls (LOD2) function. The role focuses on independent model challenge, EMIR testing, and regulatory compliance across margin and risk frameworks.

You will assess model behaviour, identify weaknesses, and contribute to the continuous improvement of testing methodologies while interfacing with senior stakeholders.