The bank for a changing world. With strong roots anchored in Europe’s banking history, BNP Paribas supports its clients and employees in today’s changing world and has positioned itself as a leading bank in the Eurozone and a prominent international banking institution.
BNP Paribas has been recognized as the 2019 World’s Best Bank for Corporate Responsibility by Euromoney magazine. This reflects our commitment to financing the economy in an ethical manner, developing and engaging our people, being an agent for positive impact on society and for combating climate change. BNP Paribas contributes to the real economy by providing solutions to a wide range of clients: individuals, community associations, entrepreneurs, SMEs, corporate clients and institutional investors. The Group helps them realise their personal and professional projects through solutions spanning financing, investment, savings and insurance.
BNPP has a significant presence in the UK with a 150-year history. Whilst recognised as a leading European bank, BNP Paribas in fact operates in 72 worldwide countries with around 200,000 employees. With such a diverse set of banking coverage (ranging from asset management insurance, retail banking, personal finance, vehicle leasing to investment banking) the career opportunities within BNPP are vast, international and attract a diverse staff base.
Business Area/Dept Overview
In many respects, banking is the business of managing risks. At BNP Paribas, our well-developed risk management culture is based on a long-term perspective, a committed management, and a strong and independent risk organisation led by RISK. Created at the same time as BNP Paribas, RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.
RISK is an integrated and independent function and is part of BNP Paribas's control functions. It is the independent second line of defence on the risk management activities of the Group which are under its direct responsibilities, including credit and counterparty risk, market risk, funding and liquidity risk, interest rate and foreign exchange risks in the banking book, insurance risk, operational risk and environmental and social risks. RISK aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group’s Risk Appetite and its strategy. RISK teams engage in an upstream dialogue with businesses to better understand their strategy, objectives and then they express their opinions and recommendations
RISK Independent Review & Control (RISK IRC) is a special unit within the RISK organisation and reports directly to the Group CRO. The independent review arm of the department provides second line of defence for the use of various types of models and, accordingly, is in charge of model risk management. The position in subject is within the team that covers market risk, counterparty risk and valuation risk methodologies.
These methodologies are developed and used globally for both regulatory and internal risk management purposes, covering all activities of the Group.
These methodologies cover amongst others:
Market risk internal models like Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM) metrics, as well as the new market risk methodologies that are developed to comply with the forthcoming Fundamental Review of the Trading Book (FRTB) regulation. These models cover all asset classes and all products, whether securities or derivatives, including also the market risk management of CVA and funding value adjustment.
On the counterparty risk side, the Group has developed Potential Future Exposure (PFE), Effective Expected Positive Exposure (EEPE) and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities. The bank has implemented also the new The bank for a changing world RISK Independent Review 2 / 4 Standardised Approach for Counterparty Credit Risk (SA-CCR) metric. Furthermore, the Group has developed and uses various types of margining methodologies, like the standard initial margin model (SIMM) used for non-centrally cleared derivatives.
On the valuation risk front, various methodologies are used for fair value and prudent value adjustments. These valuation risk methodologies cover amongst others measures for market price uncertainty, for close-out costs, for model risk, for concentrated positions and for future administrative costs. Sound model risk management practices require that these market risk, counterparty risk and valuation risk metrics, and any new developments, are subject to various types and levels of independent reviews, assessing the conceptual soundness, the proper application and the limitations of these methodologies.
The vision of the team is to use the mean of proactive model risk management in order to enable better decisions where decisions rely on model outputs. We have built a franchise of model risk management services advising senior management, supervisory authorities, as well as serving internal clients requiring model risk assessments for existing or new models.
The position in subject is about the model risk management of the abovementioned types of methodologies, performing independent reviews, assessing model limitations, and advising the stakeholders about the level of model risk born by the use of these methodologies. There is a wide range of activities covered by the team.
Therefore, the precise scope of the review activity to be covered by the new team member will depend on the exact skills and experience of the candidate, as well as on the personal development plan that will be set for the team member. There is a key focus in the team on personal development. The team members are currently based in Paris, London, New York, Brussels, Madrid and Montreal. Although they are spread across the globe, they all work as a one team. Roles and responsibilities within the team are location agnostic
The Model Risk Manager position covers the team members who start acting as model validation manager. To be able to cover a wider range of models and projects, they need to delegate part of their review work to entry-level analyst and analyst team members by defining the analyses to be performed, supervising and structuring their work during the review, and presenting the final deliverables articulating the executive summary of the review. Furthermore, Model Risk Managers coordinate the contribution of the team to various Group level projects and represent the team within those projects. The position encourages transversality in terms of coverage of topics ensuring a better understanding of the interconnectedness between risk types and activities. Accordingly, besides carrying out review works, part of the time of Model Risk Managers is spent on contributing to the steering of various Group level projects. Their stakeholders may be within RISK, within the Business, or within other Group functions
Required hard skills
- Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.
- This position requires proven professional experience in alignment with the responsibilities.
- In-depth knowledge of capital markets: how the markets operate, what the liquidity and price observability of the key products are, what the trading venues are, and what the various netting and collateral agreements are.
- Familiarity with many pricing models as well as with market and counterparty risk modelling techniques.
- Good understanding of the regulatory requirements for the scope of models being in charge of. • In-depth knowledge of model risk management processes, regulatory requirements, internal policies, standards and templates.
- Advanced programming skills in Python / R / C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives. Required soft skills • Ability to engage people for leading them.
- Ability to delegate some tasks to increase efficiency and to focus on higher value work.
- Capacity to master the methodologies in the perimeter in order to know when, where and how to interact. Eagerness to take ownership of projects and be autonomous in finding out the next steps.
- Ability to create an inclusive environment that stimulates quality dialogue and that values differences of opinion.
- Ability to persuade and influence stakeholders at department level.
- Experienced speaker at technical committees presenting review findings in a synthetic manner.
- Genuine sense of care and respect for people, acting as a team player and proactively supporting colleagues