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Market Risk Manager, ESTR/xVA - Vice President

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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.

The mission of RISK MFI A&D Market & Liquidity Risk (“MLR”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.

Job Purpose

Within MLR, the Exotic & Structural Transversal Risk (ESTR)/xVA team is responsible for:

  • Holistic and transversal view of exotic and other structural risks across Global Markets.
  • Analysis and monitoring of xVA risk exposures inherent to the bank’s derivatives portfolio and the associated hedges, by understanding the origin of the exposures (specific trades, products), reviewing certain trades in the context of the Risk Mitigating Hedging status of the XVA desk and attending relevant review committees.
  • Analysis, monitoring, and validation of Credit/Debt and Funding Valuation Adjustments (CVA/DVA/FVA/ColVA) of all Business Units. Analysing and explaining variations and adjusting if necessary. To provide market risk analysis of these portfolios.
  • Provide expertise on XVA topics within RISK MFI and more globally within RISK and the group

The team collaborates closely both with the dedicated market risk teams in charge of business lines (GBL market risks teams), the Transactions and Valuation Model Risk teams, other RISK MFI and RISK teams, as well as directly with Global Markets. The team ensures that all material risks are identified and communicated to senior management, and that adequate and globally consistent control frameworks are applied.

The Responsibilities

  • Provide excellent and specialised market risk analysis, advice and opinion to management and the business. Identify and prioritise areas of risk for analysis.
  • Use specialised expert knowledge and deep experience of the business activitiesto resolve complex market risk issues, using an innovative and analytical approach.
  • Review and develop quality and efficiency of risk assessment work within the team. Contribute to establishment of appropriate standards.
  • Manage and lead cross-functional projects across a broad scope of activities/geographies/teams. Be a key contributor to global projects.
  • Manage relationships with key stakeholders in the business and other teams to ensure the appropriateness and efficiency of the framework.
  • Influences and supports team members via leadership on decision-making. Acts as escalation point within team.
  • Strong management or leadership within the team, driving complex projects and tasks.
  • Desk Tier 1 Limit delegation

The ESTR/xVA team contributes to the transversal analysis and communication of market risk topics:

  • Strategic oversight of exotics, structural and transversal risks across GM business lines
  • Risk Analysis and Reporting:
    • Identify, analyze and monitor market risks;
    • Measure and communicate these risks, including potential development of analysis tools, and reporting to Senior Management, both on RISK and Front Office side.
    • Be pro-active in assessment of significant positions, analyze large P/L events and identify and quantify new risks.
    • Develop and maintain sound lines of communication with Global Markets Trading desks, other RISK teams, in particular with the GBL Market Risk teams.
  • New Significant Risks, Undetected Risks, Potential Threats:
    • Lead MLR efforts in the detection and anticipation of significant market, valuation and issuer risks (including holistic measures such as VaR, stress tests and capital) of Global Markets. Provide a clear, synthetic and actionable view to management on these.
    • Identify hidden risks and potential threats early, and perform in-depth and clear reviews, issuing clear concrete recommendations.
    • Participate to the definition and assessment of the risk management framework for new trades, products and activities through contribution and/or attendance to the decision-making process, for example in significant Exceptional Transactions, Transaction or New Activities Approval Committees.
  • Stress Testing:
    • Develop, compute and analyse market stress-test scenarios.
    • Contribute to the improvement of the existing stress-testing framework.
    • Supervise the construction of strategic ad hoc stress tests.
  • Contribute to the work performed by the Valuation Model Risk team in understanding and challenging choices made in terms of model assumptions or valuation adjustments methodologies.
  • Contribute to various topics led by other RISK teams, e.g.:
    • Regulatory topics (EBA QIS, FRTB, FBL/Volcker etc…).
    • P&L explain
    • Processes industrialization

Main Forums

  • Contribution to the Complex Main Position and pre-GM Main Position meetings as well as the various xVA forums (e.g. LCARC, GCARC and XVA Main Position)
  • Contribution as required to GBL and other Main Position meetings
  • Contribution as required to other relevant forums such as VMC, VRC and regulatory meetings.
  • Contribution to the construction and continuous improvement of FMRC and Main Position reporting.
  • Contribution to the coordination of work on FMRC reporting, among other important market risk forums.


  • Contribution to IPV (MAP) and reserves/PVA for xVA, collaborating with the VA team.

Industrialisation & Regulatory

-  Contribute to the various transversal topics led by Platform

-  Contribute to the industrialisation of the various processes

-  Contribute to the various transversal regulatory topics impacting the perimeter covered

Skills & Experience Required

  • Education: Graduate/Post-graduate in relevant subject (e.g. Finance, Economics, Sciences)
  • Broad and deep expert Knowledge of capital markets, derivatives (products and markets, trading/risk management, vanillas and exotics).
  • Excellent organizational and communication skills
  • Excellent analytical abilities
  • Proficiency in relevant IT skills and packages (e.g. Excel, VBA, Python/R)
  • Collaborative approach to team work.
  • Capacity for critical judgement.
  • Creative and imaginative problem solving.
  • Rigorous attention to detail
  • Excellent knowledge of industry and regulation.
  • Demonstrated people-management skills
  • Leadership and/or management skills
  • Large scale project management

Ability to influence, negotiate and collaborate

Equal Opportunities

BNP Paribas promotes equality of opportunity and is committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity, race, religion or belief, sex or sexual orientation.

As an employee with BNP Paribas London Branch, we want to make sure that you are rewarded for your commitment. As such, you will be entitled to our award winning benefits package which includes a generous holiday allowance of at least 34 days (including bank holidays), a non-contributory pension of 12%, private healthcare, GP service and dental cover all as standard, along with a number of personal insurances such as income protection, life assurance and personal accident insurance. We believe in ensuring all our employees have a positive work life balance so in addition you will also have access to a variety of flexible lifestyle benefits such as cycle to work and green car leasing schemes, season ticket loans and reduced cinema and gym membership to name a few.

Découvrez les métiers de BNP Paribas : Audit, Conformité, Risques et Juridique

Le paysage réglementaire de notre secteur évolue rapidement et nous nous devons d’être irréprochables ! Pour exercer un métier à fortes responsabilités et prendre part à des décisions stratégiques pour le bon fonctionnement de BNP Paribas, découvrez les opportunités offertes dans les métiers de l’audit, de la conformité, des risques et du juridique.

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Pourquoi je candidaterais ?

Pour quelles raisons je rejoindrais BNP Paribas et pas une autre entreprise ?

Parce que je souhaite...

  • Et si on vous disait que travailler dans notre Groupe, ce n’est pas ce que vous croyez ? Chez BNP Paribas, on exerce une multitude de métiers qui évoluent en permanence pour être en phase avec les attentes des clientes et clients comme de la société. Au travers d’actions du quotidien ou de grands projets, exercer l’un de nos métiers, c’est s’engager pour agir durablement.

  • Se sentir bien dans son job, c’est avant tout venir travailler comme on est.  C’est aussi avoir les moyens d’un bon équilibre entre sa vie professionnelle et sa vie personnelle. Deux engagements majeurs pour BNP Paribas.

  • Chez BNP Paribas, le développement de vos compétences est essentiel, pour vous comme pour nous. Et cela vous servira pour toute votre vie professionnelle.

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