BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, 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.
BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.
Business Area/Dept Overview
The mission of RISK MFI A&D Market & Liquidity Risk (“MLR”) 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 and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.
The MLR VMR team covers the model risk of the valuation models used by GM.
This role covers the global scope of model risk, across all geographies.
- Initial and periodic review/reassessment of all relevant valuation models as defined by the Valuation Methodology Control Policy (VMCP). Furthermore, to analyse and (where appropriate) confirm approval of model-related Valuation Model Events (VMEs).
- 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).
- Represent RISK MFI at Valuation Model Committees (VMCs), and also chair and organize the Global Business Line VMC ensuring significant model issues are discussed.
- Act as the main interlocutor of RISK MFI with Global Markets Quantitative Research.
· Collaborate closely with other RISK MFI teams. Specifically (but not exclusively):
· Strong and frequent interactions with the Analysis teams, to keep model considerations anchored in the context of current positions and market conditions and to contribute quantitative expertise on relevant subjects.
· Contribute to approval processes (Limits, TAC, NAC…) involving complex valuation issues.
- Promote standardisation of valuation model frameworks across Global Markets, with regional or desk-level exceptions only being kept where strong justifications motivate special configurations
- Promote consistency of valuation model frameworks across Global Markets, where exceptions to the general rules at regional or desk level should be kept to a minimum.
- Contribute to the valuation model risk management governance framework and other related governance subjects, working closely with the Valuation Risk Officers.
- Contribute to non-model valuation adjustments where justified by their nature (complex, quantitative…).
- Contribute to forums and committees on topics related to valuation models and other quantitative subjects (Non Standard Booking Committee, RTR, Main Position…), where needed.
Collaboration and communication
It is the collective responsibility of the different RISK MFI teams to ensure smooth collaboration between the A&D and Platform, and between the different sub-teams. It is the responsibility of each team to be alert to and act against the formation of silos or other hindrances of smooth and efficient collaboration.
- Provide excellent and specialised valuation model risk analysis, advice and opinion to management and the business. Identify and prioritise areas of risk for analysis.
- Use specialised expert knowledge and deep experience of the business activities to resolve complex valuation model risk issues, using an innovative and analytical approach.
- Review and develop quality and efficiency of risk assessment work within the team. Contribute to establishment of appropriate standards.
- Manage and lead cross-functional projects across a broad scope of activities/geographies/teams. Be a key contributor to global projects.
- Manage relationships with key stakeholders in the business and other teams to ensure the appropriateness and efficiency of the framework.
- Influences and supports team members via leadership on decision-making. Acts as escalation point within team.
- Strong management or leadership within the team, driving complex projects and tasks.
Knowledge, Skills & Experience
- Education: Post-graduate in relevant subject (e.g. Finance, Economics, Sciences) or equivalent proven experience.
- Deep knowledge of capital markets, derivatives (products and markets, trading/risk management, vanillas and exotics), applied mathematics, valuations models, numerical implementation methods.
- Excellent organizational and communication skills
- Outstanding quantitative and analytical abilities
- Proficiency in relevant IT skills and packages (e.g. Excel, VBA, Python/R)
- Collaborative approach to team work.
- Capacity for critical judgement.
- Creative and imaginative problem solving.
- Rigorous attention to detail
- Excellent knowledge of industry and regulation.
- Demonstrated people-management skills
- Leadership and/or management skills
- Large scale project management
- Ability to influence, negotiate and collaborate
BNP Paribas promotes equality of opportunity and is 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, race, religion or belief, sex or sexual orientation.
As an employee with BNP Paribas London Branch, we want to make sure that you are rewarded for your commitment. As such, you will be entitled to our award winning benefits package which includes a generous holiday allowance of at least 34 days (including bank holidays), a non-contributory pension of 12%, private healthcare, GP service and dental cover all as standard, along with a number of personal insurances such as income protection, life assurance and personal accident insurance. We believe in ensuring all our employees have a positive work life balance so in addition you will also have access to a variety of flexible lifestyle benefits such as cycle to work and green car leasing schemes, season ticket loans and reduced cinema and gym membership to name a few.