Join us as a Senior Quantitative Risk Analyst – Financial Risk (LOD2, CCP)
Location: Rome (Hybrid)
Team: Clearing Risk – LOD2 Financial & Credit Risk
Reporting to: Head of Financial & Credit Risk

Gross Annual Salary: 45.000 - 50.000 euro

About the role

We are looking for a quantitative profile to join the Risk Oversight & Controls (ROC) function within the Second Line of Defence (LOD2) of a Central Counterparty (CCP).

The role is focused on independent model challenge, EMIR regulatory testing and controls across margin, default fund, and risk frameworks.

This is a high-impact position: you will not develop models, but you will assess, challenge, and strengthen them. You will work at the intersection of quantitative modelling, risk governance, and regulatory expectations.

Key responsibilities

Model Challenge (core focus)

• Perform independent challenge of Initial Margin, Default Fund, and stress testing frameworks across asset classes (Fixed Income, Equities, Derivatives, Commodities, Power)
• Analyse 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

• Execute and enhance EMIR-mandated tests (Backtesting, Sensitivity Analysis, Reverse Stress Testing)
• Analyse results with a 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

Controls & Risk Monitoring

• Design and perform quantitative controls on margin, default fund, and key risk metrics
• Monitor consistency, stability, and risk sensitivity of model outputs
• Develop anomaly detection approaches (including data-driven or ML-based techniques)
• Investigate outliers and perform deep-dive analyses when needed

Other responsibilities (secondary scope)

• Contribute to the challenge of key risk policies (Default Management, Liquidity, Collateral, Investment)
• Support default-related activities (e.g. liquidation logic, fire drills)
• Contribute to liquidity and investment risk monitoring tools
• Support development of internal analytics (including credit-related insights where relevant)
• Contribute to regulatory monitoring (EMIR / ESMA / IOSCO) and internal reporting
• Participate in the development of tools, dashboards, and automation initiatives

What we are looking for

We are looking for a strong quantitative thinker, able to challenge and not just execute.

Required:

• Degree in Mathematics, Physics, Engineering, Quantitative Finance or similar
• Strong understanding of financial risk concepts
• Solid analytical mindset with the ability to question models and assumptions
• Good programming skills (Python preferred) for data analysis and modelling
• Ability to work independently on complex and unstructured problems

Preferred:

• 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 and/or machine learning / AI techniques

What makes this role interesting

• Direct involvement in the independent challenge of CCP risk models
• Exposure to regulatory-driven quantitative frameworks (EMIR testing)
• High visibility and interaction with senior stakeholders
• Opportunity to develop a critical understanding of how risk models behave in practice
• Steep learning curve across multiple asset classes and risk dimensions

Why join us

You will be part of a function that plays a critical role in ensuring the robustness and credibility of the CCP risk framework.

This is an opportunity to work on complex quantitative problems with real impact, in an environment where critical thinking and independence are key.

We are proud to be an equal opportunity employer. We do not discriminate against individuals on the basis of race, gender, age, citizenship, religion, sexual orientation, gender identity or expression, disability, or any other legally protected factor. We value the unique talents of all our people, who come from diverse backgrounds with different personal experiences and points of view and we are committed to providing an environment of mutual respect.

Additional Information

This job description is only describing the main activities within a certain role and is not exhaustive. It does not prevent to add more tasks, projects.