Your team
You will join the Model Performance team, which is part of RISK Models & Regulatory department responsible of the development, backtesting, strategy of pillar 1 models (Market, Counterparty and Credit Risk) and regulatory analysis.
At the core of the Model Performance team, there is the regulatory need to monitor the performance of credit risk models that are used to compute the Risk Weighted Assets of the Bank, and finally the regulatory capital.
The responsibility of this team includes:
- the annual backtesting of the bigger scope of credit risk pillar 1 models of the bank, from Retail to Large Corporate counterparties.
- the development of an industrialized tool to produce the backtesting results for all credit risk parameters PD/LGD/CCF and used by all IRBA entities within the group.
- The ownership of climate risk analysis for pillar 1 models.
- ECAF monitoring.
- The contribution to securitization operations.
The team has an international dimension, being located in Paris, Lisbon and Madrid, and counting more than 25 team members.
Your mission
As part of the Model Performance team, you will put in practice your quantitative and coding skills both in SAS and Python as well as your knowledge on the banking regulation.
Your mission will include the following tasks:
- Development of industrialized and harmonized model performance and risk parameters statistical solutions to be used by all IRBA entities.
- Backtesting analysis of highly complex credit risk models PD/LGD/CCF.
- Production of ad-hoc statistical analysis.
- Collection of different data sources to define Reference Data Sets to be used for backtesting analysis, including data quality assessment.
- Production of overrides monitoring analysis.
- Production of climate risk analysis.
- Contribution to Internal Model Investigation from the ECB and French banking regulator.
Profile and Skills to Success
- Master’s Degree in Mathematics and/or Statistics
- At least 2 years of experience
- Advanced level of English, both oral and written
- Knowledge in
- Data Viz (Power BI), Blending and Analytics
- IT Programs Conception (SAS, SQL, Python and R)
- Ability to deliver / results driven
- Critical thinking
- Ability to develop and adapt a process
- Analytical Ability
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Find out moreWhy should I apply?
Basically, why would you want to join BNP Paribas over any other company?
BECAUSE YOU'RE THE KIND OF PERSON WHO WANTS...
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What if we told you that working in our Group isn’t quite what you might think? At BNP Paribas, we do a multitude of different jobs that are constantly evolving to meet the expectations of our clients and society as a whole. Whether through everyday tasks or major projects, doing one of our jobs means making a personal commitment to taking sustainable action.
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Feeling good about your job means bringing your whole self to work and being who you are. It’s also about having the resources you need to achieve a healthy work-life balance. Both of these are major commitments at BNP Paribas.
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At BNP Paribas, developing your skills is as important to us as it is to you. And the skills you learn with us will help you through the rest of your working life.