About the job
- The mission of RISK Global Markets (“RISK GM”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market, counterparty, valuation and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.
- Based on the Group’s Risk Appetite Statement and in line with RISK’s mandate, RISK GM acts as second line of defence for the risks within its remit. As such, it contributes to the definition of GM’s target risk profile, their risk decision-making process and the optimisation of resource allocation in order to support the business to grow in a sustainable manner. It monitors the actual risk profile versus the target one, and assess how it may be impacted by new activities and upcoming evolutions.
- The RISK department 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 the business to better understand their strategy, objectives, deal and then RISK expresses its opinion and recommendations. The RISK function is independent, reporting directly to the CEO and Group Board.
- Our risk management function (“RISK”) is recognised in the industry as being first tier.
- Our main missions are to:
- Advise the Bank on risk appetite definition; credit risk, counterparty risk, market risk, liquidity risk, operational risk, cyber risk and other potential risks.
- Contribute as an objective “second pair of eyes” that risks taken on by the Bank align with its policies through analysis, valuation and documentation.
- Report and alert bank management of the status of risks to which the bank is exposed.
Your Main Activities Are
- Review and approval of Valuation Model, considering suitability, use and set-up, implementation. Challenging hypotheses, verifying mathematics and reviewing input data and calibration. Comparing model to a challenger model; understanding the associated model risk and potential for model error and its significance; understanding the interaction of the model with the market, the products and the broader portfolio; documenting the review work and communicate it to stakeholders while maintaining a continuous and sound dialogue with them
- Regular reassessment and re-review of existing valuation models. Monitor the model performance by developing tools, and implementing performance metrics defined alongside senior analysts
- Maintain the mapping between product and models and the associated controls
- Ensures model parameters controls in term of levels and the surrounding control framework
- Provides quantitative analysis to help in the definition and assessment of the risk management framework for new trades, products and activities that are heavily quantitative or model dependent
- Define, maintain and document Valuation adjustments methodologies related to model risk uncertainty and compute their impacts at the appropriate frequency
- Propose definition and measurement of model risk at aggregate level of model, portfolio and derivatives product
- Collaborate with other teams to achieve the goals of the organization on automation, regulatory topics or risk management
Profile and Skills to Success
- Masters Degree in Mathematics / Sciences
- At least 4 years of relevant experience
- Fluency in English, both oral and written (mandatory)
- Knowledge in
- Models and pricing tools, namely Derivatives Pricing Models
- IT Languages such as Phyton
- Communication skills - oral & written
- Ability to collaborate / Teamwork
- Analytical Ability
- Client focused
- Attention to detail / rigor
- Creativity & Innovation / Problem solving
About the team
- The RISK Global Markets Valuation Model Risk Team is the RISK team responsible for the second line of defence on valuation models within Global Markets. This therefore includes independent review and control of all models used for the generation of official daily P&L and risks. The team furthermore acts as a centre of quantitative expertise within RISK Global Markets.
- RISK is a good place to work because of the breadth of opportunities. With over 5000 employees worldwide and reflecting the overall BNPP group culture, RISK benefits from and encourages a diverse staff base with many different nationalities, cultures, levels of experience and academic backgrounds.
- Our staff well-being is an integral part of the “people care” values within our group. The culture fosters career longevity and internal mobility, while equally supporting new graduates and talents. Due to the varied mix of experience, fresh talents benefit from learning from long standing staff who are always happy to share and teach their extensive experience and wide breadth of knowledge.
- Highly comprehensive internal training courses and programmes targeted at developing talents at all levels complement the training on the job.
- RISK employees also connect through strong employee networks (Multicultural, LGBT, Gender Balance, Disability, Diversity and Inclusion, Early Career, Parents and Carers), social committees, sports and mentorships.
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 65 countries, with around 190 000 Employees – including more than 145 000 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 7.100 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:
- Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines;
- Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services;
- Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional clients.
· 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/paternity, 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.
· Commitment towards work/life balance
At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.
· Remote Working Conditions
At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.
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.