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Head of Counterparty Risk

Type de contrat

Standard / Permanent

Localisation

GB-ENG-London

Métier / fonction

RISKS

Réference

ERA000025

BNP Paribas Overview

BNP Paribas has a presence in 75 countries with more than 185,000 employees, including 145,000 in Europe. It ranks highly in its two core activities: Retail Banking & Services and Corporate & Institutional Banking. 

In Europe, the Group has four domestic markets (Belgium, France, Italy and Luxembourg) and BNP Paribas Personal Finance is the leader in consumer lending. BNP Paribas is rolling out its integrated retail banking model across Mediterranean basin countries, in Turkey, in Eastern Europe and a large network in the western part of the United States.

In its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas and solid and fast-growing businesses in Asia-Pacific. The bank is a global leader in Debt Capital Markets and Derivatives. It is a top European house in Equity Capital Markets and it has leading franchises in Specialized Financing. In Securities Services, it is a top five House worldwide. BNP Paribas CIB strives to service the global economy by providing solutions to its clients in financing (ECM, DCM, specialized financing), flow banking (trade finance and cash management), financial advisory (M&A, project finance), global markets (interest rates, credit, foreign exchange, equity derivatives), risk management, and securities services.

Strong risk management, combined with the stability that comes from being part of one of the largest banking groups in the world, underpin our success. Joining us, you’ll become an integral part of a dynamic team that spans nationalities, cultures and backgrounds, drawing together people from around the globe and reflecting our commitment to international placements.

 

Department Overview:

In many respects, banking is the business of managing risks. At BNP Paribas, our well-developed Risk management culture is based on a long-term perspective, a committed management, and a strong and independent Risk organisation led by RISK.

Created at the same time as BNP Paribas, RISK is today a global function present in five continents and at the forefront of Risk management through best-in-class expertise. RISK is a global, integrated, and independent function, covering all Business Lines and encompassing the whole chain of risk-taking. Main missions are:

·         Advise the Bank Management on the definition of risk policy;

·         Contribute as a “second pair of eyes” to ensure that risks taken by the Bank are aligned with its policies;

·         Report and Alert Bank Management on the status of risks to which the Bank is exposed.

 

 

Position

The main mission of the Market, Counterparty, Liquidity Analysis and Reporting Team (MCLAR) is to provide General Management, CIB and RISK with a global independent view and analysis of key risks, related to market, liquidity, equity and counterparty risks.  As such, MCLAR maintains an associated governance framework including business, RISK GM and RISK I2S, comprising recurring committees from Capital Market Risks Committee (“CMRC”) to Main Positions meetings, steer and animate the process surrounding the internal model capital production, and is responsible for the development, maintenance and output of the stress testing and general wrong way risk platform. In addition to the “Business as Usual” mission detailed above, the team also acts as a Project Sponsor or Stakeholder for relevant projects and change initiatives, which are usually regulatory-related.

MCLAR is organized in three dedicated teams, reflecting the three interlinked areas of responsibilities:

  • Management Information framework (MCLAR MI)
  • Capital framework (MCLAR Capital)
  • Capital Markets Stress Testing framework and Regulatory Measures (MCLAR ST&RM)

 

The MCLAR team are seeking to hire a Senior Risk Analyst to head up Counterparty Risk activities and XVA within the MCLAR MI stream. The position is based in London and reports to the Head of MCLAR.

 

 

 

Key Responsibilities:

The MCLAR MI team is responsible for providing senior management (Board, Trading and RISK management) with high quality reports and added-value risk analysis covering Market, Counterparty and Liquidity risk exposures within the Capital Markets (including BP2S) and International Financing Services metiers. The Management Information team also provide external risk disclosures and contribute towards the design, incubation, implementation and ‘run mode’ of the BNP Paribas risk analysis and reporting governance framework. This framework forms the process by which the main risk exposures are detected around the globe by the experts within RISK, how they are quantified (usually through stress testing) and then channelled upwards in the bank (all the way to the Board of Directors). As part of his remit, he will work to make sure that the risk capture, calculation, analysis and reporting processes, as well as the related controls, work in a way to support the effective functioning of the risk reporting framework.

Key duties /elements comprise:

  • Preparation and in-depth analysis of risk information concerning the Counterparty Risk exposure generated by all BNP Paribas derivatives trading activities (including clearing services), and XVA of all business units with their related hedging activities. This includes data collection, data validation, report prototyping as well as identification and appropriate analysis of key risks, trends and development of BNPP portfolios.
  • Compilation of the reports and analysis used as supporting documentation of the various risk committees/meetings in place within BNP Paribas. These include the ‘main positions’ which are a cornerstone of the position risk forums established with the main businesses’ management. These meetings/reports form the first layer of the risk discovery within RISK, helping to identify risk hotspots, market developments, strategies and to animate the quantification of these risks through appropriate measures and stress testing. The candidate will ultimately represent MCLAR in the regular meetings with GM, RISK GM and RISK I2S.
  • Contribution on related topics to the production of the monthly Capital Market Risk Committee (CMRC) documentation, which is presented and discussed with the senior management of the Group. This will include the production or coordination of key highlights or focus papers in order to meet management needs, as well ensuring that all documents are produced within a timely manner.
  • Production of other relevant / on demand reports to the Board and to Group, Businesses and RISK Management covering main counterparty events and risks, as well as ad hoc as market and economic conditions warrant (during times of stress or crisis for example).
  • The MCLAR team have a core role in contributing to the Bank’s risk disclosures as part of quarterly and annual presentations. The candidate will contribute to such results presentations and relevant documentation, as well as requests from rating agencies, regulators and auditors.
  • Part of the job will be based on (i) continuously adjusting the contents and quality of reporting based upon information on prevailing business activities to remain efficient, in order to aid the decision making of Senior Management, and on (ii) improving existing processes in order to optimize efficiency, improve transparency, enhance functionality and ensure optimal quality of reporting based upon existing information. An important part of it will be in “project mode” as additional information needs to be added to current risk reports and system risk views in coordination with associated risk experts.
  • The candidate will also assist MCLAR ST&RM and RISK GM in stress testing matters and related regulatory reporting contributions, such as the regulatory EBA Stress Test process or the Data Gaps I-I report.
  • He/She will also be in charge of coordinating global / regional demands linked to the above topics and to strengthen the existing in the regions (IHC, Asia, ,…). This new role is intended to be the main leadership/coordination behind our “Counterparty Risk” and XVA coverage.

Skills & Experience Required:

Education: Master’s degree or higher preferable.

Work-Experience: Candidates will require extensive experience of working in a risk analysis role either within the Market Risk or Counterparty Risk fields. Risk Management or Front office departments are an ideal source.

Languages: English. French is an advantage.

 

Competencies:

  • We look for candidates with a strong analytical/economics academic background (e.g. through market risk, counterparty risk, model validation). The candidate is expected to have a core appreciation and understanding of the fundamentals of the main categories of derivatives and associated risks, as an experience with simulation models. In most cases, the team will have the responsibility for transposing specialist technical issues into clear concise management summaries.
  • Ability to synthesize large amounts of diverse information at any one time, to identify emerging risks or weak signals and to effectively track data quality issues.
  • The candidate will be expected to have a general all-round IT competence, in order to manage/oversee the production of the staff within the team who will require such day to day competences, and be able to lead the development of innovative tools used for analysis or publishing. Knowledge of Microsoft Office and VBA is required. Exposure to other programming languages desirable, such as R or Python.

·         As the role will involve the management/oversight of 2 skilled risk analysts, the candidate is expected to be a strong people manager. He/she will enable the team to successfully face deadlines on an extensive range of reports covering multiple businesses while controlling quality. The manager is to actively participate in directing the team in terms of the content of the risk analysis and reporting, in particular on the key highlights and strategic focusses produced for the management.

·         Good verbal and written communication skills (English language) are an absolute requirement, due to the need to establish and maintain contacts and information flow with people from different entities and departments.

  • In addition, candidates will be expected to liaise with regulators/external parties and hence be able to communicate at this level.
  • Strong delivery focus as strict deadlines are to be respected and limited time is available to collect, analyse and synthesize risk information while maintaining a controlled environment. The candidate should be able to organise tasks in project mode and be able to ensure their timely progress.
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