The manager will be responsible for:
A) Representation of RISK
- Solely or in support of the respective local CRO, act as representative of the second line of defense on ALMT risks vis a vis banking supervisors, local and head-office management;
- Represent RISK, solely or jointly with other local RISK representatives, and provide independent opinions as to ALMT risk management matters in all of the committees referred hereafter.
B) Development, maintenance and oversight of the ALMT risk management framework (committees, policies, limits, methodologies & models):
- Participate of the definition of the local ALMT Risk Governance in the region including as relevant ALMT Risk Committees, ALCOs (Asset and Liabilities Management Commitees) and Risk Committees. In the case of the Brazil Prudential Conglomerate, act as coordinator and secretary of the ALMT risk co.
- Review and challenge the local or regional risk management policies and procedures elaborated by ALMT, and elaborate RISK ALMT’s own local procedures when relevant;
- Contribute to elaboration of the ALMT risks sections (including management principles and definition of early warning thresholds/limits) for local Risk Appetite Statements as applicable;
- Contribute to the definition of other operational limits/guidelines as well as liquidity objectives; ensure that they are reviewed periodically in light of the actual risk profile;
- Review and opine on all ALMT methodologies used for determination of internal and regulatory risk metrics across Latam as well as, in the case of stress tests, the scenarios, assumptions and outputs;
- Opine on the prudential classification (Banking / Trading Book) of ALMT transactions, in line with the relevant Group policy. Review and validate valuation methodologies of ALMT products (including definition of market reserves methodologies;
- Ensure that all ALMT models are duly identified, reviewed and validated by Regional or Central teams, in particular when detecting events that may justify the need for a re-appraisal or revision, and contribute to those reviews, namely with respect to the assumptions of the models;
- Review and assess for the appropriate committees the integrity and adequacy of the ALMT risk management framework, including procedures, systems and models as well as, together with local RISK representatives when relevant, its compliance with applicable rules and regulations.
C) ALMT risks identification, monitoring, reporting & controls:
- review and challenge the ALMT contribution to the Latam risk identification exercises coordinated by RISK SAR;
- Participate (as coordinator for new activities and exceptional transactions initiated by ALMT / as contributor when initiated by other business lines and carrying ALMT risks) of the RISK contribution to the CIB TAC-NAC process by identifying ALMT risks and potential conditions for the approval process;
- Review and challenge ALMT rationale and quantitative requests upon the country envelope revisions;
- Proactively and retrospectively identify and analyze ALMT risks, through active analysis and regular review of existing and emerging risks, using various tools such as relevant metrics (Liquidity stress tests, Interest rate gaps, NII, EVE, PV01). The objective is to form an opinion about the level of risk and anticipate on events to detect potential threats early;
- Report ALMT risks in a clear, synthetic and timely fashion to all appropriate committees, as well as to management directly when issues requiring action in shorter timeframes are detected;
- Provide to regional and head-office RISK management a consolidated view of ALMT risks for the Latin America region;
- Oversee compliance by ALMT of defined limits/guidelines/objectives, and in particular of RAS limits. By controlling exposures vs. authorizations, notify excesses and ensure that proper actions are taken. Monitor exposures vs. liquidity constraints and objectives (diversification, credit quality, market liquidity, asset encumbrance, etc…). Opine on requested exceptions and mitigation plans proposed by ALMT in case of deviations of limits;
- Oversee compliance by ALMT with defined delegations, as well as with applicable banking laws, acting as Banking Law RISK officer for ALMT in the Latam region;
- Perform consistency checks in the data monitored and reported, investigate suspicious numbers and escalate issues to RISK and ALMT management;
- Support RISK ORC in the review and challenge of RCSA (risk & controls self assessment) and operational incidents associated to ALMT activities.
- Graduate/Post-graduate in relevant subject (e.g. Finance, Mathematics, Economics, Statistics, Financial Engineering). Strong quantitative background a must;
- Analytical, rigorous, with attention to details. Advanced proficiency in Microsoft Office Excel and VBA;
- Strong work ethics. Excellent communication across verbal, written and presentation skills;
- Ability to challenge risk takers within the business lines with confidence and constructively;
- Agile to adapt to new situations and financial market events;
- Fluent in Portuguese and English, Advanced in Spanish.
“BNP Paribas is committed to providing a work environment that fosters diversity, inclusion, and equal employment opportunity without regard to race, color, gender, age, creed, sex, religion, national origin, disability (physical or mental), marital status, citizenship, ancestry, sexual orientation, gender identity and gender expression, or any other legally protected status.'
Primary Location: BR-SP-São PauloJob Type: Standard / PermanentJob: RISKSSchedule: Full-time