In Asia Pacific, BNP Paribas is one of the best-positioned international financial institutions with an uninterrupted presence since 1860. Currently with over 18,000 employees* and a presence in 13 markets, BNP Paribas provides corporates, institutional and private investors with product and service solutions tailored to their specific needs. It offers a wide range of financial services covering corporate & institutional banking, wealth management, asset management, insurance, as well as retail banking and consumer financing through strategic partnerships.
Worldwide, BNP Paribas has a presence in 68 markets with more than 193,000 employees. It has key positions in its three main activities: Domestic Markets and 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. Asia Pacific is a key strategic region for BNP Paribas and it continues to develop its franchise in the region.
* excluding partnerships
BNP Paribas offers you an exciting career in an international business environment that is fast-paced, diverse and focuses on creating high-value relationships with our clients. We offer competitive salary and benefits, as well as a working environment where you’re valued as part of the team.
The mission of RISK Global Markets (“RISK GM”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets with full transparency and dynamic analysis of the Market, counterparty, valuation and liquidity risks managed by CIB Global Markets.
This position is a hybrid role with equal share of responsibility between:
1. Valuation Adjustments Team; which is responsible for all processes related to Valuation Adjustments (FVR, PVA and IPV) among all asset classes and across all locations. This includes:
- Valuation adjustment Methodologies
- Data analysis related to valuation adjustments
- Valuation adjustments Monitoring and Production
- Any Projects related to valuation adjustment
2. Quantitative Team; which is responsible for independent review and control of all valuation models used for the generation of official daily P&L and risks across all asset classes and locations within Global Markets. This includes:
- Review and approval of all new valuation models, on both trading and potentially on certain banking books, taking into account their use and market conditions.
- Regular reassessment and re-review of existing valuation models.
- Maintenance of documentation supporting the above (re-)reviews, reassessments and approvals.
- Definition and regular review of model-related valuation adjustments (Fair Value and Prudent Value).
- Ensure consistency of approach and standards in all the above (across GBLs, regions…) and, where differences in approach are justified, ensure the justification is documented.
The position available within the RISK GM APAC team will be seated in Singapore with the rest of our Market Risk teams there. While the scope of the role will be global (across regions and asset classes) working in close partnership with the rest of the Valuation Adjustment team and Quantitative team worldwide (functionally), the APAC team will remain primary owner for topics that are Asia specific, and continuously work on building an expertise on Asian markets, risks and products.
To achieve that the candidate will be required to work in very close collaboration with the rest of the Market Risk team in APAC, will be in regular contact with FO trading and GMQR, and will also naturally work with a variety of team within RISK and outside of RISK such as T2RS, S&R, V&RC, Finance, MO.
Valuation Adjustment - Data Analysis / Production / Monitoring
- Monitoring, production and reporting of reliable and accurate analysis in a timely manner
- Perform analysis of pricing information when required to and use the analysis to calibrate various inputs to valuation adjustments methodologies.
- Propose initiatives to automate calculation, analysis and reporting tasks and implement them.
- Provide decision-making analyses and information in negotiation and discussions around business decisions.
- Provide relevant quantitative facts based on data to review and challenge risk analysis from Global Markets.
- Inform relevant internal or external stakeholder for specific enquiries related to an analysis, a methodology or a
- data set.
Valuation Adjustment - Methodology / Documentation / Maintenance
- Participate to the creation of a reference implementation library and environment and transfer all current valuation methodologies into a unique reference implementation solution.
- Take ownership, maintain and enhance the current stock of methodologies.
- Document methodologies under responsibility following group established documentation guidelines
- Propose initiatives to facilitate the data manipulation of methodology inputs.
- Propose and implement controls to mitigate and alert on methodology shortcomings.
- Provide decision-making analyses and information in discussions about methodology decisions with key stakeholders (from Trading, Quant Research, Market Risk Officers and Financial Control).
- Provide relevant quantitative facts based on data to review and challenge current methodologies.
Valuation model review (initial review, periodic re-review/reassessment, change review, ad-hoc review):
- Consideration of model suitability, use and set up, implementation;
- Review may include but not limited to: challenging hypotheses, verifying mathematics, reviewing input data and calibration, recoding the same model, comparing the model with a challenger model, matching the price of standard products;
- Understanding associated Model Risk: potential for model error; significance of associated model uncertainty;
- Understanding interaction of model with market, product and portfolio context;
- Documentation of independent review work and communication of findings to stakeholders (RISK management,
- Finance, Global Markets Trading and Quantitative Research);
- Development and maintenance of a continuous and sound dialogue with Global Markets as well as with the other RISK GM Market Risk teams.
Model Performance Monitoring
- Participate in developing tools for the second line of defense (2LoD) monitoring of model performance.
- Assist in the definition, review and implementation of performance metrics limits and ensure they are well monitored.
Product-Model-Mapping and other associated controls:
- Ensure 2LoD control of Product-Model-Mapping, model usage and associated configurations, in light of model limitations and product/portfolio/market specificities.
Model Parameter Control
- Ensure 2LoD control of model parameters both in terms of level (development of an independent view on marking) and their surrounding control framework (ensuring that marking rules are followed).
- Participate in the definition and assessment of the risk management framework for new trades, products and activities which come with a strong model or quantitative element, through contribution and/or attendance to decision-making process, in particular ETs, TACs, NACs. Such responsibility may require interaction with other teams within and outside RISK GM.
- Autonomously manage individual projects discussing progress with more experienced team members.
- Propose improvements to individual tools, methodologies and analysis under responsibility.
- Thrive to complete missions assigned by more experienced team members and collaborate effectively with any team member.
- Leverage feedback received and constructively challenge own responsibilities to seek continuous improvement.
- Facilitate information and responsibilities sharing with other team members to consolidate RISK GM’s organizational knowledge.
- Ability to understand, identify and communicate key risks associated with highly quantitative topics to a variety of stakeholders.
- Excellent communication skills to effectively express oral and written messages in a clear, structured, accurate and concise manner, based on facts
- Strongly motivated and demonstrated collaborative leadership skills
- Capacity for critical judgement, sense of responsibility
- Capacity to integrate information from diverse sources, often involving large amounts of information
- Ability to ensure the precision, accuracy and thoroughness of the information manipulated or delivered.
- Active in suggesting ideas and improvements and demonstrating curiosity.
Specific Qualifications (if required)
- Quantitative fundamentals from relevant qualification. A minimum of a Master’s degree from a well-recognised university in Physics, Maths, Engineering, Financial Engineering, Econometrics or related discipline is expected.
- One or several successful hands-on experiences in the financial industry in quantitative or data analysis fields.
- Demonstrable experiences with Excel (+VBA), Power BI and Python or R (Python preferred).
- A good understanding of the pricing fundamentals of financial markets products from securities to derivatives.
- Experience in model validation will be a positive