Quantitative Analyst - Risk Modelling (Credit)
Standard / Permanent
Who we are
BNP Paribas is a leading global bank and a prominent international banking institution, operating in numerous locations worldwide and offering multiple financial services, from retail banking to corporate and institutional banking (clients financing, advisory, capital market services). The bank is head-quartered in Paris but has a significant presence in the UK.
SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas.
The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group. The Risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At BNP Paribas, our well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.
Within ERA, SIGMA’s mission is to develop and continually improve the group’s risk modelling & measurement, analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by two architects responsible for ensuring consistency across methodological research and development activities.
The team’s remit includes all the IMM models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.
Job Summary & Responsibilities
Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA’s mission, taking responsibilities for the following:
· Lead methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes;
· Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints;
· Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment;
· Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;
· Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS);
· In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.
Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the methodological research and design in a given asset class (to be defined based on candidate’s experience and team requirements).
To be successful in this role, the candidate should meet the following requirements:
· A strong interest and familiarity with risk management best practises, financial markets and economic developments;
· A strong academic background, with at minimum of a Masters in mathematics, physics or quantitative finance. A Ph.D. is preferred but not essential, depending upon level of experience;
· Proven experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation) may be considered;
· A practical knowledge of credit derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
· Exposure to at least one of the following asset classes: credit, repo, IRFX, equity, commodities, preferably from a risk management perspective;
· Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment;
· The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory bodies is a plus;
· A good understanding and awareness of the regulatory framework for banks is desirable.
In addition, the candidate will have the ability to:
· Work to meet tight deadlines;
· Work flexibly as part of multiple teams and autonomously;
· Grasp the intricacies of governance-related processes and procedures;
· Juggle changing priorities and a varied workload.
Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred.
What we offer
The successful candidate will have the opportunity to further develop his or her quantitative skillset, joining a multi-cultural team of seasoned quantitative analysts eager to stay abreast of the latest market and industry developments (e.g. Fundamental Review of the Trading Book). As such he or she will also have the opportunity to contribute to shaping the bank’s and the industry’s future of internal models and risk management.
The role is transversal in nature and the successful candidate will contribute to improving BNP Paribas’ internal models in both market and counterparty risk spaces. The role is not limited to quantitative modelling and will also allow the candidate to further develop or strengthen his or her development skillset (our proprietary library is implemented in C#).
The role will also require the candidate to interact with many, often senior managers, e.g. to seek internal approval prior to production release in the context of validation committees. As such, he or she will be given the opportunity to present his or her work to the wider audience, providing a platform for future career development within the bank.
Finally, whilst the candidate is expected to initially specialise in a given asset class, transaction support activities will ensure he or she gets exposed to the widest possible spectrum of financial instruments and risks. Rotating across streams and asset classes will also be a possibility eventually.
As SIGMA’s remit is bank-wide, its professionals gain diverse financial experience and a broad perspective on how the bank functions as a whole. On many occasions, its unique position within the Risk Function keeps SIGMA at the forefront of the firm's strategic developments.