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/Dept Overview
The RISK Global Markets Valuation Model Risk Team is responsible for independent review and control of all valuation models with Global Markets used for the generation of official daily P&L and risks. The team furthermore acts as a centre of quantitative expertise within RISK Global Markets.
- Review and approval of all new valuation models, on both trading and potentially on certain banking books, taking into account their use and market conditions.
- Regular reassessment and re-review of existing valuation models.
- Maintenance of documentation supporting the above (re-)reviews, reassessments and approvals.
- Definition and regular review of model-related valuation adjustments (Fair Value and Prudent Value).
- Ensure consistency of approach and standards in all the above (across trading desks, regions…) and, where differences in approach are justified, ensure the justification is documented.
- Act as the main liaison for RISK Global Markets with Global Markets Quantitative Research.
- Collaborate closely with other RISK Global Markets teams. Specifically (but not exclusively):
- Strong and frequent interactions with the Market Risk teams, to keep model considerations anchored in the context of current positions and market conditions and to contribute quantitative expertise on relevant subjects.
- Contribute to approval processes involving complex valuation issues.
- Contribute to the valuation model risk management governance framework and other related governance subjects, working closely with the Valuation Risk Officers.
- Contribute to non-model valuation adjustments where justified by their nature (complex, quantitative…).
- Contribute to forums relating to model topics and other quantitative subjects, representing RISK Global Markets where appropriate.
- Attend other non-model focused forums where contribution on valuation model or other quantitative topics is needed.
Purpose & Scope of role
- Purpose: The model risk analyst performs the independent monitoring, review and control of valuation models.
- Scope: Global
Key Responsibilities of role
The Advanced Model Risk Analyst within the Valuation Model Risk Team based in London, will contribute to transversal topics and projects relating to valuation model control:
- Valuation model review (initial review, periodic re-review/reassessment, change review, ad-hoc review):
- Consideration of model suitability, use and set up, implementation;
- Review may include but not limited to: challenging hypotheses, verifying mathematics, reviewing input data and calibration, recoding the same model, comparing the model with a challenger model, matching the price of standard products;
- Understanding associated Model Risk: potential for model error; significance of associated model uncertainty;
- Understanding interaction of model with market, product and portfolio context;
- Documentation of independent review work and communication of findings to stakeholders (RISK management, Finance, Global Markets Trading and Quantitative Research);
- Development and maintenance of a continuous and sound dialogue with Global Markets as well as with the Market Risk teams.
- Model Performance Monitoring:
- Participate in developing tools for the second line of defense (2LoD) monitoring of model performance.
- Assist in the definition, review and implementation of performance metrics limits and ensure they are well monitored.
- Product-Model-Mapping and other associated controls:
- Ensure 2LoD control of Product-Model-Mapping, model usage and associated configurations, in light of model limitations and product/portfolio/market specificities.
- Model Parameter Control:
- Ensure 2LoD control of model parameters both in terms of level (development of an independent view on marking) and their surrounding control framework (ensuring that marking rules are followed).
- New Risks:
- Participate in the definition and assessment of the risk management framework for new trades, products and activities which come with a strong model or quantitative element, through contribution and/or attendance to decision-making process. Such responsibility may require interaction with other teams within and outside RISK GM.
- Reserves and Prudent Value Adjustment:
- Define, maintain and document Model Risk/Uncertainty Fair Value Reserves and Prudent Value Adjustment methodologies and calculate their impacts. Certain model-related valuation input items may also be covered. This covers existing portfolios and consideration of new models, exceptional transactions and activities.
- Model risk at portfolio level and on most significant products:
- Contribute to the definition and measurement of model risk at the aggregate level of model, portfolio and product, particularly for the most significant products.
- Ensure close coordination and collaboration with the RISK GM teams:
- Understand the market/product context of the model usage.
- Contribute to the understanding of market risk in exotic and model-dependent areas.
- Contribute to regulatory projects (e.g. FRTB).
- Process industrialization (model-related processes, reserves…).
- Representation of RISK GM to external supervisors (e.g. ECB, Federal Reserve) and internal/external audit missions
- Support production of documentation and analysis to demonstrate the Bank’s model risk control practices, and provide 2LoD judgements on proposed developments subject to review.
- RISK GM Analyst Development: Continue to develop the skill-set of a successful RISK GM Analyst, in particular:
- Precision and exhaustiveness in daily work, constantly striving to improve processes.
- Acquire credibility with the team, Quantitative Research and the business and be able to accept challenges and face them.
- Continually improve technical and product knowledge.
Experience, Qualifications & Competencies
- Graduate degree in quantitative subject (e.g. Quantitative Finance, Sciences, Maths) or proven demostrable experience.
- Strong knowledge of financial models for derivative pricing and/or risk measures
- Strong mathematical and analytical skills
- Inquisitive and proactive behavioural mindset
- Fluency in English and strong communication skills
- PhD degree in quantitative subject or proven demostrable experience.
- Expert in model validation or model development for one or many asset classes
- Expert in data analysis and associated programming languages (e.g. Python, R, C)
- Experience in advocating for changes and influencing outcomes