About the job
RISK Systems's mission consists in providing the Bank with a comprehensive capital markets risk system used to calculate market and counterparty risk capital figures using advanced methods and to support the needs of users for risk analysis, risk reporting and the credit process.
As such team is responsible for the Calibration (adjustment of the market parameters to ensure accuracy of the risk models over time), and Backtesting (analyzing the losses predicted by the risk models compared with the actual ones) for the market risk models
The actions of the team strive to strengthen the synergies between other stakeholders such as SIGMA, RISK Market and Financial Institutions (MFI) and GMQR, to lead to faster problem solving, more adjusted deliveries and the development/implementation of improvement initiatives
The Model Management Squad 1 (MM SQ1) - Calibration and Backtesting squad plays a crucial role in updating and validating the risk models used ensuring regulatory compliance, model performance and optimizing BNP Paribas Asset and Resources (BNPPAR) business decisions
The role is for a position within the Calibration team in Lisbon, Portugal
Your Main Activities Are
- Developing and implementing data procedures to ensure data accuracy, completeness, and consistency, both for Backtesting and Calibration
- Calibration of VaR, SVaR, SVaR on CVA, NeAR, SNeAR, IRC and CRM models
- Implementation and Validation of model changes for the VAR, SVaR, SVaR on CVA, NeAR and SNeAR models
- Analysis and Reporting of negative and positive excesses to our stakeholders
- Analysis and Reporting to our stakeholders about Proxy and RNIM model behaviour
- Development and implementation of Calibration and Backtesting methods tied to the FRTB components
- Investigate issues detected by either data quality failures, model variations or market moves and help to resolve them permanently when necessary
Profile and Skills to Success
- Master’s degree in Business, Finance, Mathematics, IT or related field
- Fluency with all MS Office tools
- Knowledge on main financial products such as Stocks, Bonds, Swaps, among others are a strong plus
- Knowledge on risk management metrics such as Value at Risk or Expected shortfall are required
- Knowledge of regulatory frameworks such as FRTB, Basel 2.5 are appreciated
- Knowledge in SQL and Python are required
- Delivery-focused with keen attention to detail
- Excellent interpersonal and organizational skills
About the Team
- The mission of RISK is to provide Senior Management of the Group and of the Operating Divisions, with full transparency and dynamic analysis of the risk and clients managed by Corporate and Investment Banking (CIB) and Investment Solutions (IS) business units
- RISK contributes to the definition of the Group’s risk appetite, its risk decision-making process and the optimization of capital allocation to support the development of the Operating Divisions
- RISK Systems team is part of RISK. Its mission consists in providing the Bank with a comprehensive capital markets risk system used to calculate market and counterparty risk capital figures using advanced methods and to support the needs of users for risk analysis, risk reporting and the credit process
- In this context, RISK Systems Operations team is a global team responsible for the production of market and counterparty risk metrics to the RISK function. The team is split between London, Paris, Hong Kong, New York, Singapore, Mumbai, Brussels, Montreal, Sao Paulo, Lisbon and Porto
#LI-Hybrid
Why joining BNP Paribas?
BNP Paribas, the European leader in banking and financial services in Europe, operates in 64 countries and has nearly 180,000 employees. The Group is structured around three operating divisions. Its business lines cooperate closely, as part of our integrated model, to meet the needs of all our clients in a coordinated manner:
- Corporate & Institutional Banking (CIB), connects corporate clients needing financing and institutional clients looking for investment opportunities;
- Commercial, Personal Banking & Services (CPBS), brings together all the Group’s commercial & personal banking and several specialised businesses;
- Investment & Protection Services (IPS), combines a unique continuum of products and services across protection, saving, investment and real-estate.
Our presence in Portugal
In Portugal since 1985, BNP Paribas today has more than 9.700 employees, distributed across the Group's 10 business entities established in the country. Its presence also extends to 11 excellence centers providing value-added services to various countries where the BNP Paribas Group also operates.
Diversity and Inclusion Commitment
BNP Paribas´ ambition is to cultivate an open and responsive environment for all that encourages collaboration and interaction. We demonstrate our commitment by actively contributing to the Group’s Diversity and Inclusion strategy and goals, in line with the United Nations Sustainable Development Goals. As part of our local Corporate and Social Responsibility - Diversity & Inclusion strategy, BNP Paribas Portugal is committed to:
- Promote a fair and unbiased recruitment process and offer professional development opportunities to all employees;
- Celebrate diversity and advocate for inclusion, both externally and internally, encouraging employee’s participation, creating space for different voices to be heard.
To foster the effort of BNP Paribas Portugal, multiple initiatives and events take place throughout the year where our people can find out more on the importance of diversity inclusion at the workplace and in our society.
Remote Working Conditions
At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working options adapted to our hybrid working environment. To ensure a comfortable and efficient working setup, eligible employees are provided with both office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional items at reduced prices.
Commitment towards work/life balance
Supporting employees in a hybrid way of working while providing them with the means to maintain a work-life balance is an essential dimension of our Smart Working program. At BNP Paribas, we care about our employees’ wellbeing and promote a culture of good integration between work and personal life.
To find out more on why you should join BNP Paribas please read our Employee Value Proposition and our Career path page.
* Please note that only applications submitted in English will be considered.
* In case you are selected for this role, further documentation will be requested to support your hiring process.
