Senior Quantitative Risk Analyst – Financial Risk (LOD2, CCP)

TL;DR

Senior Quantitative Risk Analyst (Financial Risk, CCP): Independent model challenge, EMIR regulatory testing and controls across margin, default fund, and risk frameworks with an accent on quantitative validation under stressed and non-linear market conditions. Focus on analysing model assumptions and limitations, executing backtesting and sensitivity analysis, and developing anomaly detection techniques.

Location: Rome (Hybrid)

Company

Leading European stock exchange operating a Central Counterparty (CCP) clearing house.

What you will do

• Perform independent challenge of Initial Margin, Default Fund, and stress testing models across asset classes including Fixed Income, Equities, Derivatives, Commodities, and Power.
• Execute and enhance EMIR-mandated tests such as Backtesting, Sensitivity Analysis, and Reverse Stress Testing, analysing model performance and stability.
• Design quantitative controls and monitor risk metrics, developing anomaly detection including data-driven or ML-based approaches.
• Contribute to reviews of new models, parameter changes, risk policies, and regulatory reporting.
• Support default management activities, liquidity monitoring, and internal analytics development.

Requirements

• Location: Rome (Hybrid) – office attendance required.
• Degree in Mathematics, Physics, Engineering, Quantitative Finance or similar.
• Strong understanding of financial risk concepts and analytical mindset to question models.
• Good programming skills (Python preferred) for data analysis and modelling.
• Ability to work independently on complex problems.

Nice to have

• Experience in CCPs, clearing houses, or financial markets.
• Knowledge of margin methodologies (VaR, Expected Shortfall, stress testing).
• Familiarity with EMIR or similar regulatory frameworks.
• Exposure to large datasets, machine learning, or AI techniques.

Culture & Benefits

• High-impact role in risk oversight with visibility to senior stakeholders.
• Environment emphasizing critical thinking and independence.
• Steep learning curve across multiple asset classes and risk dimensions.
• Part of a function ensuring CCP risk framework robustness.