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Vice President – PPNR Modelling Specialist

Type de contrat

Standard / Permanent


US-NY-New York

Métier / fonction




Business Overview:
The Intermediate Holding Company (“IHC”) program structured at the U.S. level across poles of activities of BNP Paribas provides guidance, supports the analysis, impact assessment and drives adjustments of the U.S. platform’s operating model due to the drastic changes introduced by the Enhanced Prudential Standards (“EPS”) for Foreign Banking Organizations (“FBOs”) finalized by the Federal Reserve in February 2014, implementing Section 165 of U.S. Dodd-Frank Act.
BNPP is seeking candidates to join the Forecasting and Analytics team, which is part of the broader Capital Management team established to support the IHC Program. The team will be responsible for supporting the stress testing, scenario definition, and related development of models to calculate and forecast the projections under stressed scenarios. The team will work closely with other business and functional areas to promote compliance with various Fed regulations and initiatives, including the Comprehensive Capital Analysis and Review (CCAR) framework. As part of CCAR, bank holding companies[1] are required to submit a comprehensive capital plan with three components as follows: planned capital distributions, capital adequacy under base and stress conditions (i.e., capital stress tests), and extensive documentation on the capital planning process.  
As part of the annual CCAR submission to the Fed (Jan 5 of each calendar year), BNPP must submit a package to the Fed, inclusive of Capital Plan, 14A template and supporting documentation. The Bank will be required to submit the results of company-run stress tests based on three supervisory scenarios (baseline, adverse, severely adverse) and two internally developed scenarios (baseline and stress).
During the initial setup of the Forecasting and Analytics team, the candidate will be responsible for the development of the coordination process that ensures the completeness of the Forecasting and Scenario Design for both the internal and Fed scenarios. The candidate will work with the Modeling and Line of Business teams to ensure completeness of the documentation that accompanies the scenario selection and development process, with narratives on various qualitative considerations and assumptions. Once in business as usual, the Forecasting and Scenario Design team will follow the approved process to ensure timely review of the Forecasting and Scenario Design that will get incorporated in the annual CCAR submission.
Detailed responsibilities will include (but not limited to) the following:
  • Support BNPP in its efforts to assist with the model development, deployment, and validation of statistical and financial models
  • Develop and enhance preliminary models and approaches (in partnership with LOBs and functional areas as applicable) to support stress testing and economic capital.
  • Be responsible with data collections, verification, and assembly
    • Performing stress testing, back testing, sensitivity analysis, scenario analysis, etc.
    • Collaborate with key stakeholders to conduct analysis on various topics and help develop potential solutions and/or approaches. 
    • Assist in the preparation of regulatory document submissions and interact with regulatory bodies as needed.
    • Prepare model documentation and validation reports as needed
    • Support efforts in the development of new models, analytic processes, or system approaches
    • Assist with reporting as needed
[1] Currently, CCAR applies to domestic Bank Holding Companies with total consolidated assets of greater than $50bn.  BNP Paribas will be required to form an Intermediate Holding Company (IHC) under section 165 of the Dodd Frank Act (DFA), and will participate in CCAR beginning in 2017.

  • Graduate or post-graduate degree in a quantitative field including Statistics, Econometrics, Economics, Engineering, Mathematics or related field or equivalent experience.
  • Hands-on experience with econometric modeling techniques (regression, time-series, volatility, Monte Carlo, and multivariate models) and statistical modeling.
  • Proven experience in developing statistical models in the financial services industry including  loss estimation, PPNR, and RWA (Credit, Counterparty or Market) forecasting
  • Self-starter, ability to work independently in a fast paced environment and deliver solid action oriented results quickly
  • 5 + years of experience in quantitative roles in Financial Services industry (capital markets knowledge preferred)
  • 5 + years of statistical analysis and  modeling using statistical software using SAS
  • 2 + years of experience with MS SQL
  • Excellent problem solving analytical skills, detail-orientation, independent thinking, and organizational skills
  • Previous experience dealing with model validation groups
  • Business sense in order to understand quantitative results within the context of the bank's strategy.
  • Strong quantitative and statistical skills (time series analysis, logistic/ linear regression, and segmentation).
  • Working knowledge of current regulatory landscape (i.e., CCAR, Basel.
  • Ability to work on multiple projects at the same time and high-level of attention to detail
  • Strong verbal and written communication skills and strong interpersonal skills with the ability to articulate assumptions, methods, and results to peers and management
  • Strong attention to detail
  • Strong verbal and written communication skills
  • Ability to adhere to strict project and production deadlines, showing strong planning and organization skills
  • Proven Ability to adhere to strict project and production deadlines
Nice to have skills
  • Previous experience in developing, validating, and maintaining stress testing / forecasting models for various economic scenarios highly desirable
  • Experience with CCAR, DFAST, and stress testing and time series modeling is a definite plus.
  • Experience with Visual Basic and strong Excel formula and template creation proficiency is a plus
  • Experience with Capital Markets and Investment Banking highly desirable.
FINRA Registrations:
  • Not Applicable