About BNP Paribas India Solutions:
Established
in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP
Paribas SA, European Union’s leading bank with an international reach. With
delivery centers located in Bengaluru, Chennai and Mumbai, we are a 24x7
global delivery center. India Solutions services three business lines:
Corporate and Institutional Banking, Investment Solutions and Retail Banking
for BNP Paribas across the Group. Driving innovation and growth, we are
harnessing the potential of over 10000 employees, to provide support and
develop best-in-class solutions.
About BNP Paribas Group:
BNP Paribas is the European Union’s leading
bank and key player in international banking. It operates in 65 countries and
has nearly 185,000 employees, including more than 145,000 in Europe. The
Group has key positions in its three main fields of activity: Commercial,
Personal Banking & Services for the Group’s commercial & personal
banking and several specialised businesses including BNP Paribas
Personal Finance and Arval; Investment & Protection Services for savings,
investment, and protection solutions; and Corporate & Institutional
Banking, focused on corporate and institutional clients. Based on its strong
diversified and integrated model, the Group helps all its clients
(individuals, community associations, entrepreneurs, SMEs, corporates and institutional
clients) to realize their projects through solutions spanning financing,
investment, savings and protection insurance. In Europe, BNP Paribas has
four domestic markets: Belgium, France, Italy, and Luxembourg. The Group is
rolling out its integrated commercial & personal banking model across
several Mediterranean countries, Turkey, and Eastern Europe. As a key player
in international banking, the Group has leading platforms and business lines
in Europe, a strong presence in the Americas as well as a solid and
fast-growing business in Asia-Pacific. BNP Paribas has implemented a
Corporate Social Responsibility approach in all its activities, enabling it
to contribute to the construction of a sustainable future, while ensuring the
Group's performance and stability
Commitment to Diversity and Inclusion
At BNP
Paribas, we passionately embrace diversity and are committed to fostering an
inclusive workplace where all employees are valued, respected and can bring
their authentic selves to work. We prohibit Discrimination and Harassment of
any kind and our policies promote equal employment opportunity for all
employees and applicants, irrespective of, but not limited to their gender,
gender identity, sex, sexual orientation, ethnicity, race, colour, national
origin, age, religion, social status, mental or physical disabilities,
veteran status etc. As a global Bank, we truly believe that inclusion and
diversity of our teams is key to our success in serving our clients and the
communities we operate in.
About Business line/Function:
Systems InteGrated Methods and Analytics (SIGMA) is a team of
specialised risk officers with global accountability for the counterparty,
market and liquidity risk methodologies within the Bank’s RISK function.
It also maintains the internal model methodology for operational risk.
Organisationally, it is embedded in the RISK Global Framework department and
in particular its RISK Models & Regulatory group.
SIGMA’s mission is to develop and continually improve the group’s
risk modelling & measurement, analysis and backtesting capabilities.
SIGMA is organised in streams, each responsible for a given asset class
(IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk
methods (Cross-Product), as well as a quantitative development / architecture stream. The team’s remit includes internal risk models in use within
the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk
space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the
counterparty risk space.
Job Title:
Director/Vice
President - Risk Models & Regulatory
Date:
Department:
RISK Models and Regulatory / SIGMA
Location:
Mumbai
Business Line / Function:
RISK / RISK Global Framework / RISK Models and
Regulatory
Reports to:
(Direct)
Grade:
(if applicable)
(Functional)
Number of Direct Reports:
Directorship / Registration:
NA
Responsibilities
Working in close partnership with other RISK teams and
stakeholders (systems, reporting, regulatory, Front Office), the successful
candidate will contribute to SIGMA’s mission, taking responsibilities in some
of the following areas:
·
Participate in methodology
projects, gathering and documenting requirements, considering stakeholder
interests, regulatory constraints and any potential deficiencies in the
current methods exposed by quality assurance processes.
·
Investigate, analyse and design
risk methods and models, respecting the aims of accurately capturing risks
whilst considering system or other environmental constraints.
·
Design, develop and test code
changes required to implement the risk methods in the risk systems, whilst
assisting the technical teams responsible for optimisation and promotion of
the code to the production environment.
·
Ensure that all methodologies,
tools, processes and procedures are documented to a high standard satisfying
both internal and regulatory expectations, and that any methodological
changes and corresponding decision of governing bodies are promptly reflected
in relevant documentation.
·
Contribute to the quality
assurance processes surrounding risk measurement including backtesting and
VaR Adequacy (P&L Explain) process.
·
Cooperate with the RISK model
validation teams in the review and approval of risk models.
·
Support regulatory
interactions, participating in industry working groups and Quantitative
Impact Studies (QIS).
·
In a transactional or advisory
capacity, assist risk managers and Front Office in the prompt, accurate and
astute risk assessment of deals, where the standard and systematic methods
may not be applicable or appropriate.
What we offer
The successful candidate will have the
opportunity to further develop his or her quantitative skillset, joining a
multi-cultural team of seasoned quantitative analysts eager to stay abreast
of the latest market and industry developments. As such he or she will also
have the opportunity to contribute to shaping the Bank’s and the industry’s
future of internal models and risk management. SIGMA participates in Risk
Model Fundamentals and Research Lab and successful candidates, once
integrated into the team, will be given an opportunity and an option to
participate in Lab projects. The results from the Lab and SIGMA in general
are regularly presented at major international conferences. Members of SIGMA
also publish in professional refereed journals.
The role is transversal in nature and
the successful candidate will contribute to improving BNP Paribas’ internal
models in both market and counterparty risk spaces. The role is not limited
to quantitative modelling and will also allow the candidate to further
develop or strengthen his or her development skillset (our proprietary
library is implemented in C#).
The role will also require the
candidate to interact with many, often senior managers, e.g. to seek internal
approval prior to production release in the context of validation committees.
As such, he or she will be given the opportunity to present his or her work
to the wider audience, providing a platform for future career development
within the Bank.
As SIGMA’s remit is bank-wide, its
professionals gain diverse financial experience and a broad perspective on
how the bank functions as a whole. On many occasions, its unique position
within the RISK Function keeps SIGMA at the forefront of the firm's strategic
developments.
Competencies
Candidates with both industry
background and academic research background are welcome.
To be successful in this role, the
candidate should meet the following requirements:
· A strong academic background, with at minimum a Masters in
mathematics, physics or quantitative finance. Both Masters and Ph.Ds. are
welcome.
· The Department conducts business in English, thus a good command
of both verbal and written English is essential.
Further requirements are specified
separately for experienced candidates with financial industry background and
for experienced candidates with academic research background:
Experienced candidates with
financial industry background are
welcome from banks, investment companies and consultancies:
· A strong interest and familiarity with risk management best
practises, financial markets and economic developments.
· Experience in a quantitative finance environment, preferably in a
market risk or counterparty risk modelling capacity; other backgrounds (e.g.
Front Office quantitative research, model validation, hedge funds) are also
welcome.
· Sound understanding of stochastic processes and their application
to risk factor simulations.
· A practical knowledge of derivatives, their risk drivers and the
models used to price them; exposure to at least one of the following asset
classes: credit, repo, IR/FX, equity, commodities, preferably from a risk
management perspective.
· Design and implementation of quantitative models, preferably
using C# or C++ in a source-controlled environment.
· The role will expose the candidate to a wide range of
professionals within the bank. Therefore, communication skills, both written
and verbal, play an essential part of the day-to-day role. Previous
experience in interacting with Front Office, validation functions and
regulatory or supervisory bodies is a plus.
· A good understanding and awareness of the regulatory framework
for banks is desirable.
Experienced candidates with
academic research background are
welcome from the range of disciplines: from the field of financial
mathematics to broader fields of mathematics, physics and engineering. We
welcome both academic and industrial scientists. Successful candidate will be
provided internally with on the job training in financial mathematics and
banking fundamentals.
· Candidates expected to have PhD with further research experience.
· Candidates should demonstrate proven record of research and
academic excellence; published work is a plus.
· More senior candidates are expected to demonstrate leadership in
collaborative research projects.
· The role will expose the candidate to a wide range of
professionals within the bank. Therefore, communication skills, both written
and verbal, play an essential part of the day-to-day role. Previous
experience in joint research with other research teams is a plus.
· Reasonable coding skills are expected.
In addition, a candidate from any
background will have the ability to:
· Work to meet tight deadlines.
· Work flexibly as part of multiple teams and autonomously.
· Grasp the intricacies of governance-related processes and
procedures.
· Juggle changing priorities and a varied workload.
Candidates able to exhibit a curious
mindset and those able to demonstrate a strong intuition for identifying and
measuring risks of traded instruments will be preferred.
Skills Referential
Behavioural Skills:
Ability
to collaborate / Teamwork
Ability to deliver / Results driven
Attention to detail / rigor
Transversal
Skills:
Analytical
Ability
Ability
to develop and adapt a process
Ability
to manage a project
Education
Level:
Master Degree or equivalent
Experience
Level
At least
12 years
Other/Specific Qualifications (if
required)
