STMM Quantitative Stress Testing Analyst

About the job

• • BNP PARIBAS Group Finance, RISK, and ALM Treasury, have set-up a shared team in charge of the Group stress testing, the financial planning and the financial synthesis.
  • The team named STFS, for Stress Testing and Financial Simulations, has for objective to coordinate the strengthening of BNP Paribas’ Stress-Testing (S/T) and planning capabilities so as to better serve Business Lines, Legal Entities and Group needs and meet supervisory requirement on these matters, and in a cost-efficient manner
  • To that effect, STFS aims at building a flexible, industrialized, central utility accessible by BNP Paribas’ Business Lines and Entities (B/E) for their local needs and their contribution to Group exercises. STFS offers an integrated S/T service to B/Es to support them in capitalizing on the shared framework for their local needs
  • STFS is also responsible for executing all Group-wide, comprehensive stress testing exercises, whether regulatory or internal
  • STFS supports B/E’s S/T initiatives to ensure consistency with group standards while respecting local regulatory and supervisory requests
  • Within the STFS platform, Stress-Testing Methodologies & Models (STMM), is responsible for the S/T models and methodologies for all major drivers impacting P&L, liquidity and capital planning globally for the Bank. The team is also responsible for coordinating the development and implementation of models and methodologies that combine different risks (e.g. market risk, operational risk, credit risk, liquidity risk…). It ensures the consistency and robustness of S/T models and methodologies by developing models as a transversal expertise center for the Group liaising with the different topics experts in RISK. The team is composed of quantitative analysts and data scientists with a clear orientation towards innovation. Its transversal positioning also brings the opportunity to work with stakeholders in many regions and get an understanding of a variety of business of the bank
  • Within STMM, one team is dedicated to credit risk. This team covers the models and methodologies used for the projection of credit risk parameters for stress testing and IFRS 9. The team expertises are related to:
    1. Quantitative analysis: portfolio modelling, rating migration and LGD models
    2. Time series modelling for the anticipation of risk parameters
    3. Numerical treatments
    4. Reporting and analysis of stress testing outcomes

Your Main Activities Are

• • Carrying out stress test exercise for internal and Regulatory purposes: stress test exercises rely on macroeconomic parameter forecasts. These parameters have impacts on forecasted default rates and credit risk cycle. You will be in charge of calculating and computing these parameters and then feeding the stress test engine
  • Analyzing and producing automatic reporting for quarterly stress test exercise and provide stress test results for local regulators
  • Carrying out IFRS9 quarterly exercise: updating IFRS9 parameters according to macroeconomic scenario, ensuring consistency between stress test and IFRS9’s models, sensitivity analysis, rationalization effect measurement 
  • Data science: treatment of large dataset in a big data environment, using Python/R code. Data analysis and treatment on both input parameters (including loan and client level portfolio data) and on model generated data

Profile and Skills to Success

• • Master Degree in Mathematics / Economics / Finance / Statistics / Engineering or related     
  • At least 2 years of experience in Credit Risk and/or in the Banking Industry        
  • Advanced level of English, both written and oral
  • Knowledge in at least two of the following
    1. Python
    2. R
    3. VBA
    4. SAS
    5. SQL
  • Ability to deliver / results driven
  • Ability to collaborate / teamwork
  • Analytical ability
  • Communication skills, both written and oral
  • Creativity and innovation / problem solving
  • Proactivity

#LI-Hybrid 

Why joining BNP Paribas? 

· Leading banking institution

BNP Paribas is the European Union’s leading bank, and key player in international banking. It operates in 63 countries and has nearly 183.000 employees, including more than 146.000 in Europe.

· Our presence in Portugal

In Portugal since 1985, BNP Paribas today has more than 8.700 employees, distributed across the Group's 10 business entities established in the country. Its presence also extends to 11 excellence centres providing value-added services to various countries where the BNP Paribas Group also operates.

· 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.