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.
Systems
InteGrated Methods and Analytics (SIGMA) is the quantitative modelling team
with overall responsibility for market, liquidity and counterparty credit risk
methods within BNP Paribas.
Organisationally,
it is embedded in the Risk Models and Regulatory group which 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.
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 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 teams.
•
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 analysis and reporting teams to ensure their
appropriate communication to senior management.
•
Support the interaction with supervisors and regulators, 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.
Job Purpose & Scope
Purpose:
Carrying
out quantitative analyses and developments as laid out in the team’s mission
statement
Scope:
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, transversal) or function (e.g. methodology development
architecture)
Key Responsibilities
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:
• Contribute to 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, VaR Adequacy (P&L
Explain) and model monitoring processes; 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 chapter of SIGMA.
The Requirements
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 risk measurement and management, including market risk modelling,
counterparty credit risk including collateral 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.
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.
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