is today a global
function present in five continents and at the forefront of risk management through
We want to implement
in Spain a new International Risk Hub covered a multitude of missions, which
will serve to entire group:
Advise the Bank Management on the definition of risk policy.
Contribute as a “second pair of eyes” to ensure that risks taken by the Bank are aligned with its policies.
Report and alert Bank Management on the status of risks
to which the Bank is exposed.
Covering at least the following major risk types: Credit Risk, Market
& Counterparty Risk, Liquidity Risk, Insurance Risk, Operational Risk, Model
Encompassing Risk policy, analytics
and modelling, anticipation, stress-testing etc.
II. WHAT WE OFFER
We offer the opportunity to work in a dynamic environment learning about
and work with cutting edge pricing and risk methodologies. The position allows
having a global view on the corporate and institutional banking activity of one
of the market leading top tier investment banks.
III. JOB DESCRIPTION
Counterparty risk methodologies are developed for both regulatory and
internal risk management purposes.
The European Regulation called CRR allows computing
counterparty risk own funds requirements by the Internal Model Method (IMM) and
CVA risk own funds requirements by the Advanced method (A-CVA). As part of the
IMM and A-CVA, the BNP Paribas Group has developed Effective Expected Positive
Exposure (EEPE), Value-at-Risk on CVA (VaR on CVA) and Stressed Value-at-Risk
on CVA (Stressed VaR on CVA) metrics for counterparty risk and CVA risk own
funds requirements computations.
Besides the prudential capital requirement measures,
the Bank has adapted the abovementioned regulatory measures to better reflect
the view of the Bank with regards to effective management of counterparty risk.
Accordingly, the BNP Paribas Group has developed various Potential Future
Exposure (PFE) measures for limit setting and position monitoring.
The developed counterparty exposure models with
different configurations are used also Accounting CVA and other types of XVA
The US Swap Margin Rule allows computing margin
requirements for non-centrally cleared derivatives using an internal model. The
BNP Paribas Group has developed therefore SIMM jointly with other banks and
implemented this model internally for bilateral initial margining.
Finally, the BNP Paribas Group has implemented other
regulatory measures like MDDR for measuring settlement risk and also various
counterparty risk metrics like Counterparty Liquidity Ranking (CoLoR) for
internal counterparty risk management.
The position is about performing counterparty risk methodology reviews.
The position is open for various levels of experience. The seniority of
the position depends on the level of experience in developing or validating
financial models related to Capital Markets either on the Front Office side or
on the Risk side.
The candidate for a senior position is expected to have experience in
IV. PROFESSIONAL QUALIFICATIONS /
Must have hard skills:
Strong quantitative background. MSc or PhD degree in a
In-depth knowledge of Capital Markets: how the markets
operate, products, what the main risk drivers are, revaluation of financial
instruments & derivatives, and what the shortcomings of the industry
Familiarity with counterparty risk, CVA modelling
techniques & regulatory.
Strong understanding of stochastic processes and
derivatives pricing techniques, familiarity with several underlying asset price
models and with various numerical techniques.
Must have soft skills:
Ability to challenge the proposed methodologies and to
provide alternative solutions.
Skills to valorize new ideas, both supportive and
critical, and to examine problems from several different points of view.
Specific audit mind-set and skills to review
Result orientation, managing the time efficiently
focusing on the mission and providing the highest quality work.
Eagerness to take ownership of projects and be
autonomous in finding out the next steps.
Capacity to master the methodologies in the perimeter
in order to know when, where and how to interact.
Good communication skills in English to convey clearly
his/her ideas in front of various audiences, and concise writing skills.
Strong curiosity of the field, proactively seeking
opportunity of learning and progress, and staying up-to-date with the newest
developments in the field.
Advanced object oriented programming skills
in C++ / C#.
Networking skills to get access to the information,
proactively building relationships with traders, developers and risk analysts.
Primary Location: ES-MD-MadridJob Type: Standard / PermanentJob: RISKSEducation Level: Not indicatedExperience Level: Not IndicatedSchedule: Full-time