BNP Paribas Overview
BNP Paribas has a presence in 72 countries with more than 200,000 employees, including 154,000 in Europe. It ranks highly in its two core activities: Retail Banking & Services and Corporate & Institutional Banking (CIB).
BNP Paribas Corporate & Institutional Bank is a leading European investment bank with global leadership in many of our businesses. With nearly 30,000 employees in over 57 countries, CIB can offer you an exciting and truly global career.
At BNP Paribas CIB, we work continuously on behalf of our clients, helping them to realise their projects around the world. You can be an important part of this, helping us to serve our clients both in mature and emerging markets, providing them with financial solutions across a diverse range of expertise, products and services. Our origins lie in Europe but nearly a quarter of our employees now work in our multi-award-winning Asia Pacific offices and we are a committed player in all markets.
Strong risk management, combined with the stability that comes from being part of one of the largest banking groups in the world, underpin our success. Joining us, you’ll become an integral part of a dynamic team that spans nationalities, cultures and backgrounds, drawing together people from around the globe and reflecting our commitment to international placements.
Within Finance department, Valuation Risk & Governance (ex- Methodologies and Financial Control) is a team dedicated to the supervision of the entire Fair and Prudent Valuation chain and its use in various downstream chains such as the economic P&L Control Chain or the Capital chain. The mandate of the team covers essentially the Global Markets activities in CIB, but extends beyond this scope to cover the main portions of the group fair valued balance sheet. This involves the following:
- Coordinating the actions of departments involved in valuation (Front Office, Risk-GM, V&RC, MO and other Finance teams), inclusive of the setting of responsibility schemes,
- Guaranteeing the comprehensiveness and quality of controls concerning valuation,
- Participating in the methodology discussions linked to Fair Value and Prudent value
- Resolution facilitation or escalation of valuation disagreements and control deficiencies,
- Reporting findings to Business heads, and to a senior valuation governance forum involving CIB management, Risk and Group Finance
The role advertised, will focus specifically on valuation chain in the global business lines dealing with fixed Income products, which is the main area of responsibility of focus of the Valuation Risk & Governance Team in London.
BNP Paribas' fixed income product expertise and distribution capabilities have positioned us amongst the top fixed income players in Europe, from which the bank built a strong franchise in Asia, Japan and the US. Our comprehensive approach to developing solutions for our client-base integrates global expertise in quantitative research, sales, trading, origination, and comprises several global product lines: G10 rates, Credit & Primary, Forex and Local Markets. These global businesses are part of a wider ensemble forming the Global Markets activity.
BNP Paribas is also one of the leading derivatives houses, thanks to a competitive advantage in terms of quant research and models.
The role is based in London and reports to the head of the London Valuation Risk & Governance (VRG) team, covering the G10 Rates and Legacy Global Business lines (Interest rates). The role is focused on delivering the permanent supervision duties in relation to the scope covered by the VRG team in London, with focus on the economic, fair and prudent valuations used by the business line and the functions.
The job is business line oriented and business line facing. It is organized around a monthly rhythm/cycle where the team is in charge of reviewing the controls performed by some departments involved in the Valuation and the Valuation control processes, namely the Product Control (involving amongst other the P&L Production, and the industrial independent price verification processes), the Global Markets teams, the Trading and the Research departments. The role’s objective is to ensure the controls performed at all levels are exhaustive, effective and appropriately documented; specific activities/objectives may include:
- Ensuring that appropriate controls over valuation-related configurations (including model mappings, pricing configurations, market parameter configurations, reserves parameterisation, fair value hierarchy configurations) are adequately maintained by the relevant departments, are in line with the approved methodologies and internal policies. This mandate comprises primarily methodological focus as Finance holds escalation rights in relation to methodologies, and also operational dimension. In order to be in position to fulfil the role, the team is granted access to any methodological corpus or detail, to spreadsheets, and has capabilities to perform independent reviews through access to systems, official documentations. Furthermore, the team has mandate to interfere in the methodology approval workflow, and holds escalation rights in the Valuation Methodology Committee meetings.
- Ensuring that non-standard trade bookings are covered by specific approvals, and follow specific control processes. The job involves a regular synthesis reporting of the effectiveness of the work performed by the departments in charge of the controls, and checks the compliance with the policies. The job also involves the identification of any need for policies/process and the contribution to the development and approval of these,
- Ensuring that appropriate controls over official market data used in P&L production are in place and that marking is economically fair and compliant with accounting rules and the BNPP independent price verification (IPV) policy by liaising with the relevant departments performing the IPVs, reviewing and at times critically analysing monthly IPV results and procedures, and attending Market Data Control Committee meetings (which govern the market data referential and policies),
- Contributing to the assessment of the adequacy and soundness of the fair value adjustment and Prudent Value frameworks. The ability to provide pertinent assessment of the soundness of these frameworks from methodology perspective is the result of the deep knowledge developed on the underlying processes (IPV, models), and to the deep knowledge of the existing process and its operational setup.
- Contributing to the Observability review of the market parameters, and preparing the discussions and reporting in the Observability Valuation Model committees. The ability to perform this assessment also builds up from deep knowledge of the entire valuation process.
- Contributing to the assessment of the soundness of the Day One Profit Process (DOP) and the balance sheet fair value hierarchy aggregates and related financial disclosures.
The role will also include:
- Monthly reporting to senior FI management on the results of month end IPV controls, reserves, DOP, marking differences, and identified marking or control issues
- Coordination between external auditors and control groups quarterly and at year end
- Participation in the evolution of the valuation and P&L systems and their implementation by critically reviewing the current processes, contributing to their improvement and ensuring appropriate control levels are maintained
Skills & Experience Required:
- Proven experience in financial industry
- An understanding of Fixed Income products (bonds, swaps, futures, swaptions, caps, floors, bond options, Repos, IR Exotics);
- An understanding of Fixed Income related market data (rates, volatilities, correlations…), and potentially their sources, and the main associated products,
- A good understanding of risk concepts (delta, vega, VaR…);
- An good understanding of the basic concepts and models in mathematical finance;
- A deep sense of control in particular on independent valuation controls;
- Some familiarity with P&L reporting processes and stakes;
- An understanding of deal processing flows and associated issues;
- MA/MS education background, accountancy qualification would be a plus;
- Good PC skills (VBA and Access, Python would be a serious plus) - Please state the standard of Excel/ VBA/ Access on the CV;
- Positive attitude to complying with deadlines and objectives;
- Ability to work under strong closing pressure
- Effective organisation and time management, including ability to prioritise workload;
- Excellent communications skills;
- Quality focused, detail oriented and problem solving skills;
- Robust and confident personality;
- Team player
• Be a role model, supporting and fostering a culture of good conduct
• Demonstrate proactivity, transparency and accountability for identifying and managing conduct risks
• Consider the implications of your actions on colleagues, partners and clients before making decisions, and escalate issues to your manager when unsure.
Please note that all applicants must disclose whether that they possess the right to work in the U.K. as per the Immigration, Asylum, and Nationality Act of 2006.