INTERNATIONAL RISK DEPARTMENT Counterparty Methodologies / Model Validation Quant
RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.
We want to implement in Spain a new International Risk Hub covered a multitude of missions, which will serve to entire group:
Advise the Bank Management on the definition of risk policy.
Contribute as a “second pair of eyes” to ensure that risks taken by the Bank are aligned with its policies.
Report and alert Bank Management on the status of risks to which the Bank is exposed.
Covering at least the following major risk types: Credit Risk, Market & Counterparty Risk, Liquidity Risk, Insurance Risk, Operational Risk, Model Risk
Encompassing: Risk policy, analytics and modelling, anticipation, stress-testing etc.
II. WHAT WE OFFER
We offer the opportunity to work in a dynamic environment learning about and work with cutting edge pricing and risk methodologies. The position allows having a global view on the corporate and institutional banking activity of one of the market leading top tier investment banks.
III. JOB DESCRIPTION
Counterparty risk methodologies are developed for both regulatory and internal risk management purposes.
The European Regulation called CRR allows computing counterparty risk own funds requirements by the Internal Model Method (IMM) and CVA risk own funds requirements by the Advanced method (A-CVA). As part of the IMM and A-CVA, the BNP Paribas Group has developed Effective Expected Positive Exposure (EEPE), Value-at-Risk on CVA (VaR on CVA) and Stressed Value-at-Risk on CVA (Stressed VaR on CVA) metrics for counterparty risk and CVA risk own funds requirements computations.
Besides the prudential capital requirement measures, the Bank has adapted the abovementioned regulatory measures to better reflect the view of the Bank with regards to effective management of counterparty risk. Accordingly, the BNP Paribas Group has developed various Potential Future Exposure (PFE) measures for limit setting and position monitoring.
The developed counterparty exposure models with different configurations are used also Accounting CVA and other types of XVA computations.
The US Swap Margin Rule allows computing margin requirements for non-centrally cleared derivatives using an internal model. The BNP Paribas Group has developed therefore SIMM jointly with other banks and implemented this model internally for bilateral initial margining.
Finally, the BNP Paribas Group has implemented other regulatory measures like MDDR for measuring settlement risk and also various counterparty risk metrics like Counterparty Liquidity Ranking (CoLoR) for internal counterparty risk management.
The position is about performing counterparty risk methodology reviews.
The position is open for various levels of experience. The seniority of the position depends on the level of experience in developing or validating financial models related to Capital Markets either on the Front Office side or on the Risk side.
The candidate for a senior position is expected to have experience in regulatory affairs.
IV. PROFESSIONAL QUALIFICATIONS / CANDIDATE PROFILE
Must have hard skills:
Strong quantitative background. MSc or PhD degree in a quantitative subject.
In-depth knowledge of Capital Markets: how the markets operate, products, what the main risk drivers are, revaluation of financial instruments & derivatives, and what the shortcomings of the industry standards are.
Familiarity with counterparty risk, CVA modelling techniques & regulatory.
Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.
Must have soft skills:
Ability to challenge the proposed methodologies and to provide alternative solutions.
Skills to valorize new ideas, both supportive and critical, and to examine problems from several different points of view.
Specific audit mind-set and skills to review methodologies.
Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work.
Eagerness to take ownership of projects and be autonomous in finding out the next steps.
Capacity to master the methodologies in the perimeter in order to know when, where and how to interact.
Good communication skills in English to convey clearly his/her ideas in front of various audiences, and concise writing skills.
Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.
Advanced object oriented programming skills in C++ / C#.
Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.