Quantitative Developer x2 – Market and Counterparty Risk Modelling (FRTB)
Standard / Permanent
Who we are
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, a 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 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. In the context of market risk modelling, the incoming regulation surrounding the “Fundamental Review of the Trading Book” (FRTB) is becoming an increasingly important cornerstone for the team.
Job Summary & Responsibilities
The primary focus will be on the creation, maintenance, documentation and testing of algorithmic code, but the role requires a solid quantitative background and a strong interest in this aspect. The work scope comprises the full range of risk measurement methods in the team’s remit, across asset classes and across counterparty risk and market risk perimeters. Examples include counterparty risk models, pricers and model calibrations, as well as market risk simulations and pricing methods.
The role requires a contribution to both methods and system requirements and design rather than just implementation of a detailed technical specification. In this respect, an active contribution to methods, system requirements and design discussions is expected; where relevant, complemented by challenging both implementation details and design decisions by tracing these back to the business requirements.
To be successful in this role, the candidate should meet the following requirements:
· A strong academic background, with at minima a Masters in mathematics, physics or quantitative finance;
· Design and implementation of quantitative models, using C#, JAVA or C++ (and object-oriented programming in general), in a source-controlled environment (e.g. SVN);
· Proven experience in a quantitative finance environment, preferably in a market risk model development capacity – knowledge of asset simulation and stochastic models is a must;
· Practical knowledge of derivatives, their risk drivers and pricing models;
· Exposure to one of the following asset classes: credit, repo, IR/FX, equity, commodities;
· Understanding of large production systems in some detail, both from algorithmic and performance perspectives;
· Good grasp of the current regulatory framework (especially FRTB) and its implications on banks’ operations constitutes a significant plus.
This 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.
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.
What we offer
The successful candidate will have the opportunity to further develop his or her quantitative development skillset, join a multi-cultural team of seasoned quantitative analysts and developers 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 will also allow the candidate to further develop and strengthen his or her development and quantitative skillset.
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.
BNP Paribas operates an equal opportunities policy. We are committed to providing equal employment opportunities for all, regardless of sex (including sexual orientation), race, colour, nationality, ethnic or racial origins, marital status, religion, age or disability.