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.
Business Area / Department Overview
Systems InteGrated Methods and Analytics (SIGMA) is a team of specialised risk officers with global accountability for the counterparty, market and liquidity risk methodologies within the bank’s Risk function. It also maintains the internal model methodology for operational risk. Organisationally, it is embedded in the Risk Models group which itself is part of Enterprise Risk Management and Operational Risk Control (ERM & ORC).
The team services the business activities within the Risk function’s scope and provides Risk and the General Management with key risk metrics for their decision making process, by researching and adopting best practices for measuring and monitoring the risks in scope, working in close partnership with Risk Systems to deliver solutions to users. The team’s responsibility also includes any other market and investment related risks, including contributions to CVA (xVA) and capital related measures. This mission requires that the team:
- Investigate, analyse and design methodologies respecting the aims of accurate capture of risk and ease of use and understanding by risk managers, whilst retaining consistency within the overall methodological and technical architecture and taking requirements gathered by the Risk Systems Business Analysis team into account. The ultimate solution must also be balanced with the cost of implementation and take account of the effect on system performance.
- Working in close cooperation with the Risk Systems Business Analysis teams, analyse the input data required for the methodology and ensure this data can be sourced and loaded into the system.
- Design, develop and test the (prototype or production) code required to implement the methodology in the risk systems, in cooperation with the Risk Systems Calculation Engines team.
- Design and implement the calibration and backtesting methodologies and support the Risk Systems teams responsible for the corresponding production processes.
- Lead methodology projects, ensuring the requirements are met and facilitating good communication between SIGMA, Risk Systems and the risk analysts as well as Front Office research teams and other project stakeholders.
- Complementing this mission the team is also required to:
- Provide training, explanation and ad-hoc analysis to facilitate the understanding of the risk methodology and its results amongst the Risk community, business and senior management. Propose and participate in the general development of better risk management methods and practices across the Risk function and to contribute to the promotion of the Bank's risk culture and training efforts.
- Contribute to the quality assurance processes surrounding risk measurement including the VaR Adequacy (P&L Explain) process.
- Cooperate with and support the Risk Independent Review & Control teams in the review and validation of risk models, ensuring their engagement through the project lifecycle as appropriate.
- Assist Risk in the prompt and accurate risk assessment of deals, where the standard systematic methods are not applicable or not appropriate, including for the purposes of overriding such exposures in the system. Also to provide tools, methods and training to promote the independent capability of risk officers to assess the risk of such transactions.
- Contribute to Risk’s additional risk measures and control processes such as stress-testing and to assist the Risk Strategic Analysis & Reporting teams to ensure their appropriate communication to senior management.
- Support the interaction with supervisors and regulators through the Risk Independent Review & Control and the Risk & Regulatory Strategy teams, to participate in industry working groups on risk methodology topics and to cooperate with supervisory missions on the explanation and elucidation of risk and capital calculations.
Purpose & Scope of Role
- Carrying out quantitative analyses and developments as laid out in the team’s mission statement
- Global responsibility for the Group, in line with SIGMA’s team mandate; within SIGMA, the sub-team responsibility comprises a given asset class (e.g. equity/commodity) or function (e.g. methodology development architecture)
Key Responsibilities of Role
Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA’s mission, taking responsibilities for the following:
- Lead methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes;
- Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other constraints;
- Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment;
- Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models;
- Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS);
- In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.
Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the initiatives within the Cross-Product stream of SIGMA.
Experience, Qualifications & Competencies
To be successful in this role, the candidate must meet the following requirements:
- A strong interest and knowledge of risk management best practises, financial markets and economic developments;
- A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
- Proven experience in a quantitative risk modelling capacity;
- A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
- Exposure to backtesting methodologies, collateral modelling approaches and initial margin models.
- Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
- Strong communication skills, both written and verbal;
In addition, the candidate must have a track record of ability to:
- Work to tight deadlines;
- Work flexibly as part of multiple teams and autonomously;
- Grasp the intricacies of governance-related processes and procedures;
- Juggle changing priorities and a varied workload.
Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred.