Hybrid Senior Financial Risk Modeling Analyst

at Paraná Banco S/A

• Job title: Senior Financial Risk Modeling Analyst
• Job type: Full Time
• Experience level: Senior
• Salary: Not specified
• Degree requirement: Bachelor's Degree
• Tech skills: Python
• Location requirements: Hybrid, Curitiba, Brazil

About the role

• Senior Risk Modeling Analyst developing financial loss models and stress tests at a financial institution in Brazil. Responsible for risk management, regulatory compliance, and ensuring model governance.

Responsibilities

• Develop, calibrate and document expected loss models in accordance with Res. CMN 4.966/2021 (PD, LGD, EAD components; staging; forward-looking elements; overlays).
• Build interest-rate curve stress models and macro shock scenarios (rates, inflation, FX, spreads, default rates).
• Project impacts on NII (Net Interest Income), EVE (Economic Value of Equity), fair value, provisions and regulatory capital (CET1, RWA, leverage).
• Develop projections of macroeconomic indicators (GDP, IPCA, SELIC, unemployment, default rates) using econometric techniques.
• Assess market, liquidity, credit and counterparty risk of distributed funds.
• Ensure full lifecycle governance of financial risk models: design, documentation, approval, implementation, monitoring, revalidation and decommissioning.
• Translate technical results into strategic implications for ALCO, the Risk Committee and the Executive Board.
• Stay up to date with the financial markets and regulatory changes that may impact the institution.

Requirements

• Bachelor's degree in Economics (or Economics with a strong quantitative background).
• Also acceptable: Statistics, Mathematics, Engineering or related fields with solid econometric training.
• Proven senior experience in credit risk and expected loss modeling (PD, LGD, EAD, staging, forward-looking).
• Strong command of econometrics (time series, generalized linear models, logistic regression, duration models, cointegration).
• Advanced programming in R and Python.
• Ability to interpret and communicate model performance metrics (discrimination, calibration, stability).
• Strong attention to detail and disciplined documentation.
• Clear written and executive communication and multidisciplinary collaboration skills.
• MBA or Master's degree (Economics, Econometrics, Quantitative Finance, Statistics or related areas).
• Certifications: CGA/CGE (ANBIMA) or FRM/CFA.
• Experience in stress testing and interest rate/curve sensitivity analysis (IRRBB).
• Familiarity with regulatory frameworks: Res. CMN 4.966/2021, IFRS 9 (conceptual equivalences), ICAAP, capital management.
• Prior experience at Banco S4, quantitative consultancy or advanced credit fintech.

Benefits

• Employees based in Curitiba and the metropolitan area: Hybrid.
• Call center employees: On-site.
• Employees in other locations: Remote.