Job detail for Market & Counterparty Risk Regulatory Measurement and Reporting

.

Overview

Within the Chief Risk Officer Area, you will join the Market & Counterparty Risk Regulatory Measurement and Reporting team at Intesa Sanpaolo, which is at the heart of one of the most significant regulatory transformations in the European banking system: the implementation of the FRTB framework. You will be responsible for the development and evolution of the internal model used to calculate the Pillar 1 capital requirement for market risks, working in close contact with the validation function and European supervisory authorities.

What you will do

• Develop, maintain, and extend the internal model for calculating the Pillar 1 capital requirement for market risks
• Analyze and validate pricing methodologies for simple and structured financial instruments
• Define and implement quantitative methodologies to support market risk measurement, stress testing, and backtesting, as well as the related risk model governance framework
• Contribute to the dialogue with the internal validation function and European supervisory authorities regarding the methodological aspects of the internal model, including model change and approval processes
• Contribute to the evolution of the model towards the FRTB Internal Model Approach provided for by CRR3, in the areas of Expected Shortfall, Default Risk Charge, non-modellable risk factors, and P&L attribution test

Who we are looking for

If you have the following characteristics, we are waiting for you:

• Master's degree in Mathematics, Physics, Engineering, Statistics, Finance, or Economics
• Knowledge of pricing models and methodologies for simple and structured financial instruments
• Knowledge of market risk measurement methodologies, including Value at Risk and Expected Shortfall, and internal capital models
• Knowledge of European prudential regulation, with particular reference to the capital requirement for market risks
• Python for quantitative applications
• English, minimum level B2.2 of the CEFR framework

It is a plus to have: knowledge of the FRTB framework, a specialization in quantitative finance, and previous experience with internal market risk models in a risk or front office environment.

At least 3 years of experience in the role is required.

What we offer

• Gross annual salary starting from 45.000€
• The Group provides a variable remuneration component as governed by the Remuneration Policies available on the Group's website
• Complementary elements governed by the National Collective Labor Agreement for the Credit Sector and second-level company agreements
• Professional development initiatives to support the growth of our people
• Extensive training offer through the Corporate Academy dedicated to the continuous development of professional, managerial, and soft skills at all levels
• Possibility to join flexible work arrangements and the 4x9 short week
• Modern and integrated corporate welfare system ( link)
• Health coverage and supplementary pension scheme starting from the date of hiring
• Advantages on the Group's banking products and services

Who we are

We are leaders in Italy and one of the main banking groups in Europe. Join us and be part of our success story! With over 20 million customers in Italy and abroad, we are a true engine of sustainable growth with a strong commitment to the environment and a tangible impact on society.

People are at the center; we take care of them by committing to creating an inclusive culture within the Group where everyone feels like a protagonist and valued.

Join our international reality. The future is not waited for, it is chosen!

#sharingfuture

We guarantee an inclusive and equal opportunity environment. We will consider all applications regardless of race, religion, sexual orientation, gender identity, marital status, age, disability, or any other protected category in compliance with Legislative Decrees 198/2006, 215/03, and 216/03.

For the evaluation of applications, the data will be used by Intesa Sanpaolo S.p.A. as Data Controller. We invite you to read the dedicated Privacy Notice.