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Quantitative Analyst – Market and Counterparty Risk Modelling

Horaires Temps plein
Métier Risques
Marque BNP Paribas
Niveau d'expérience 3 à 5 ans
Niveau d'études Niveau Bac+4/5
Postuler REF: 2105RSK7534

About the job

  • The successful candidate will have the opportunity to further develop his or her quantitative skillset, joining a multicultural team of seasoned quantitative analysts eager to stay abreast of the latest market and industry developments.As such he or she will also have the opportunity to contribute to shaping the bank’s and the industry’s future of internal models and risk management

  • The role is transversal in nature and the successful candidate will contribute to improving BNP Paribas’ internal models in both market and counterparty risk spaces. The role is not limited to quantitative modelling and will allow the candidate to further develop or strengthen his or her development skillset (our proprietary library is implemented in C#)

  • The role will also require the candidate to interact with many, often senior managers, e.g. to seek internal approval prior to production release in the context of validation committees. As such, he or she will be given the opportunity to present his or her work to the wider audience, providing a platform for future career development within the bank

  • As SIGMA’s remit is bank-wide, its professionals gain diverse financial experience and a broad perspective on how the bank functions as a whole. On many occasions, its unique position within the Risk Function keeps SIGMA at the forefront of the firm's strategic developments

Your Main Activities Are

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 in some of the following areas:

  • Participate in 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 environmental 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

  • Ensure that all methodologies, tools, processes and procedures are documented to a high standard satisfying both internal and regulatory expectations, any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation

  • 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

  • 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

Profile and Skills to Success

To be successful in this role, the candidate should meet the following requirements:

  • A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance. Both Masters and Ph.Ds. are welcome; initial level of responsibility will depend upon the level of experience and expertise

  • The Department conducts business in English, thus a good command of both verbal and written English is essential

More experienced candidates are expected to have:

  • A strong interest and familiarity with risk management best practises, financial markets and economic developments

  • Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation) are also welcome

  • Sound understanding of stochastic processes and their application to risk factor simulations

  • A practical knowledge of derivatives, their risk drivers and the models used to price them; exposure to at least one of the following asset classes: credit, repo, IR/FX, equity, commodities, preferably from a risk management perspective

  • Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment

  • The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory bodies is a plus

  • A good understanding and awareness of the regulatory framework for banks is desirable

In addition, the candidate will have the ability to:

  • Work to meet 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

About the Team

  • SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas

  • The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group. The Risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At BNP Paribas, a well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation

  • Within ERA, SIGMA’s mission is to develop and continually improve the group’s risk modelling & measurement, analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), as well as a quantitative development stream

  • The team’s remit includes internal risk models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space

Why joining BNP Paribas?

  • Leading banking institution

BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe's banking history. It has a presence in 72 countries, with around 200 000 Employees – including more than 150 000 in Europe.

  • Our presence in Portugal

Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 6.500 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

  • International reach

Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients with financing, investment, savings and protection solutions that help make their projects a success. BNP Paribas holds key positions in its three core operating divisions: Domestic Markets and International Financial Services for retail banking and specialised financial services, and Corporate & Institutional Banking for corporate and institutional clients.

In its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific.

  • Diversity and Inclusion commitment

BNP Paribas is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively 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. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.

To find out more on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal

* 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

Primary Location: PT-11-LisbonJob Type: Standard / PermanentJob: RISKSEducation Level: Master Degree or equivalent (> 4 years)Experience Level: At least 5 yearsSchedule: Full-time Reference: 2105RSK7534