Model Risk Manager M/F
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.
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 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.
The working environment is important!
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. These models cover all asset classes and all products, whether securities or derivatives.
On the counterparty risk side, the Group has developed Potential Future Exposure (PFE), Effective Expected Positive Exposure (EEPE) and CVA.
Our team of twenty people is multi-site (Paris, London, Brussels...)
You will join the Paris office where 4 people work.
Why join BNP Paribas?
Our world is changing: the way we inform ourselves, consume… and work too! Today, what counts in a job is to live real experiences, to learn, to share objectives and results with colleagues. In short, to chart your own path, different, responsible and sustainable. At BNP Paribas, we recruit our employees with the idea that they will help us design the world and the bank of tomorrow.
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At least 5 years’ experience and 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.
Your English level is fluent and your French level is middle
We attach particular importance to ensuring that our future employees act on a daily basis with ethical and professional responsibility.
At any time during the recruitment process, the information on your resume and your identification data may be verified by an external service provider appointed by BNP Paribas.