BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors.
BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.
Business Area / Department Overview
This role is within RISK Global Markets – Analysis – EQD Market Risk GBL team. This team is covering the market risk generated by the Global Markets EQD Business Line.
Its main responsibilities are:
- Business line leadership
- Centre of expertise and point of contact for the business line, able to provide a holistic view of risks and activities, escalating issues as appropriate. Understanding the application of processes under the responsibility of other RISK GM teams to the business line.
- Risk anticipation and detection
- Anticipation, detection, monitoring, analysis, and opinion on all market and issuer risks:
- Early identification and in-depth review of hidden risks and potential threats, concluding with a clear view and recommendation for risk mitigating actions.
- Escalation to RISK and business management.
- Risk control framework
- Design and continuous improvement of the market risk control framework including risk analysis tools, limits and stress testing. Holistic vision on valuation and capital metrics, escalating issues or concerns in these areas.
Management of specific processes
Business line leadership
- Point of contact for GM on GBL market risk topics.
- Articulation of main risks and risk opinion to management.
- Review of and opinion on information and views provided by GM.
- Understanding valuation, capital, funding, and liquidity impact of business line.
- Provide support as business-line expert to other RISK teams.
- [M&M responsibility] Understand business-line valuation models and methodologies and escalate weaknesses and concerns.
- [RISK ERA SIGMA resp.] Understand market risk capital framework and escalate weaknesses and concerns.
- [CSAT resp.] Market risk analysis of structured/complex transactions as part of NAC/TAC.
Risk anticipation and detection
- Understanding the valuation, risk and P&L of business line activities in the context of current, past and potential market conditions.
- Animation of Main Position meetings and other forums with the business line, providing independent risk analysis and opinion, escalation of risk topics, and challenge to the business view.
- Providing accurate and appropriate risk information and opinion to the CMRC and other senior management forums. Escalating risk topics to senior management as needed.
- Performing in-depth, ad hoc analysis, formulating an opinion and escalating as needed, while judging priority, on any and all market risk topics affecting the business line.
- [MCLAR responsibility] Reporting market risk exposure and measures (e.g. VaR, stress tests).
Risk control framework
- Analysing the business line with the tools available, driving the improvement of these tools, and ensuring that risks for which tooling or data is inadequate are nevertheless adequately understood.
- Setting and ensuring timely review of market risk limits in line with RAF.
- Escalation of limit excesses.
- Definition and application of IPV methodologies and control of non-tradable/exotic market parameters where responsibility not transferred to Services, M&M or V&RC.
- Review and approval of the market risk of transactions outside of CSAT scope, with reference to ET and MPM frameworks.
- Approval of amendments to trading mandates for French Banking Law/Volcker Rule desks.
- Definition of risk measurement methods such as stress tests (STSC responsibility), regulatory measures (dedicated committees), VaR methodologies (MARCo).
- [Services responsibility]:
- Work with Services, Risk Systems and GM to ensure appropriate market risk representation.
- Provide support for regulatory requests and missions: e.g. On-Site Inspections, Quantitative Impact Studies, Bank Reform Committees (e.g. Sub ICC).
- [Counterparty and Collateral resp.]: Contribution to collateral eligibility process.
- Support assessment of quality, liquidity and price volatility of securities;
- Recommend valuation methodologies of complex collateral in collaboration with M&M.
- [Finance VRG resp.] Contribute to Non-Standard Booking process including Complex Booking approval, review of approximate booking and non-contractual data methodologies (where not covered by M&M).
- [Services responsibility] Contribute to FBL/Volcker Rule control plans.
- [Services responsibility] Participate in VaR sign off process.
Purpose & Scope of Role
Purpose: Market Risk analysts are in charge of the day-to-day monitoring of the market risks.
Key Responsibilities of Role
Market Risk analyst within the GBL Market Risk Team with a contribution to transversal topics and projects:
Risk Analysis and Reporting:
- Identify, analyze and monitor market risks inherent.
- Measure and Monitor these risks, including development of monitoring tools, and reporting to the Business and Senior Management.
- Be pro-active in day-to-day assessment of positions, analyze large P/L events and identify and quantify new risks.
- Analyze VaR backtesting events and perform the FBL and Volcker metrics commenting.
- Develop and maintain a continuous and sound dialogue with the business line as well as with the RISK GM Analysis CSAT and M&M teams.
- Participate in developing tools for the limits framework and their monitoring.
- Assist in the definition, review and implementation of limits and ensure they are well monitored and reported in the bank systems in collaboration with the RISK GM Services stream.
- Build a solid understanding of main business risks. Create tools to help develop intuition for what are the main risks and their drivers, as well as how to address them.
- Participate in the definition and assessment of the risk management framework for new trades, products and activities through contribution and/or attendance to decision-making process, in particular ETs, TACs, NACs. Such responsibility may require interaction with other teams within and outside RISK GM.
- Develop, compute and analyse market stress-test scenarios.
- Contribute to the improvement of the existing stress-testing framework.
Market Parameter Monthly Review (MAP):
- Perform the MAP review calculations.
- Ensure that the MAP review remains exhaustive and robust, and it has regularly reviewed and well documented.
Contribute to the work performed by the RISK GM Models & Methodologies stream:
- Understand model assumptions/limitations and their economical purpose.
- Contribute to the review of the impact of new models on the books (testing of the impact on the valuation and risks of the books as well as the risk representation in the systems).
- Contribute to the definition and review of model reserves.
- Collaborate on Reserves and PVA methodologies and their impacts, for new exceptional transactions and new activities
Contribute to the various topics led by the RISK GM Services stream:
- Regulatory topics (EBA QIS, FRTB, FBL/Volcker etc…).
- P&L explain.
- Process industrialization [limits, MAP, reserves etc…].
Experience, Qualifications & Competencies
Master Degree/Engineering School in Science, Economy, Finance.
Substantial experience in Capital Markets:
Good knowledge of options principles (trading, risk management) and derivatives markets (products and markets).
Good level of Excel + VBA + Python or R.
Languages: English mandatory.
- Ability to understand, identify and communicate key risks associated with a variety of transaction structures and products.
- Excellent verbal and written communication skills.
- Ability to work effectively in a team environment.
- Desire to learn.