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Market and Liquidity Risk Analyst (Risk Analyst)

Last update 23.02.2024

Position Purpose

The mission of RISK Global Markets (“RISK GM”) 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, counterparty, valuation and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.
Based on the Group’s Risk Appetite Statement and in line with RISK’s mandate, RISK GM will act as second line of defence for the risks within its remit. As such, it will contribute to the definition of GM’s target risk profile, their risk decision-making process and the optimisation of resource allocation in order to support the business to grow in a sustainable manner. It will monitor the actual risk profile versus the target one, and assess how it may be impacted by new activities and upcoming evolutions.
 

Responsibilities

Scope: Global Macro & Global Credit APAC desks covered from Singapore

Main Responsibilities

  • Business line leadership
        Centre of expertise and point of contact for the business line, able to provide a holistic view of risks and activities, escalating issues as appropriate. Understanding the application of processes under the responsibility of other RISK MFI teams to the business line.
  • Risk anticipation and detection
Anticipation, detection, monitoring, analysis, and opinion on all market and issuer risks:
  1. Early identification and in-depth review of hidden risks and potential threats, concluding with a clear view and recommendation for risk mitigating actions.
  2. Escalation to RISK and business management.
  • Risk control framework
          Design and continuous improvement of the market risk control framework including risk analysis tools, limits and stress testing. Holistic vision on valuation and capital metrics, escalating issues or concerns in these areas.

Management of specific processes

Business line leadership

Responsible:
  • Point of contact for GM on GBL market risk topics.
  • Articulation of main risks and risk opinion to management.
  • Review of and opinion on information and views provided by GM.
  • Understanding valuation, capital, funding, and liquidity impact of business line.
Contribution:
  • Provide support as business-line expert to other RISK teams.
  • Understand business-line valuation models and methodologies and escalate weaknesses and concerns.
  • Understand market risk capital framework and escalate weaknesses and concerns.
  • Market risk analysis of structured/complex transactions as part of NAC/TAC.

Risk anticipation and detection

Responsible:
  • Understanding the valuation, risk and P&L of business line activities in the context of current, past and potential market conditions.
  • Animation of Main Position meetings and other forums with the business line, providing independent risk analysis and opinion, escalation of risk topics, and challenge to the business view.
  • Providing accurate and appropriate risk information and opinion to the FMRC and other senior management forums. Escalating risk topics to senior management as needed.
  • Performing in-depth, ad hoc analysis, formulating an opinion and escalating as needed, while judging priority, on any and all market risk topics affecting the business line.
Contribution:
  • Reporting market risk exposure and measures (e.g. VaR, stress tests).

Risk control framework

Responsible:
  • Analysing the business line with the tools available, driving the improvement of these tools, and ensuring that risks for which tooling or data is inadequate are nevertheless adequately understood.
  • Setting and ensuring timely review of market risk limits in line with RAF.
  • Escalation of limit excesses.
  • Definition and application of IPV methodologies and control of non-tradable/exotic market parameters where responsibility not transferred to Platform or V&RC.
  • Review and approval of the market risk of transactions outside of Transactions team scope, with reference to ET and MPM frameworks.
  • Approval of amendments to trading mandates for French Banking Law/Volcker Rule desks.
Contribution:
  • Definition of risk measurement methods such as stress tests (STSC responsibility), regulatory measures (dedicated committees), VaR methodologies (MARCo).
  1. Work with Platform, Risk Systems and GM to ensure appropriate market risk representation.
  2. Provide support for regulatory requests and missions: e.g. On-Site Inspections, Quantitative Impact Studies, Bank Reform Committees (e.g. Sub ICC).
  • Contribution to collateral eligibility process.
  1. Support assessment of quality, liquidity and price volatility of securities;
  2. Recommend valuation methodologies of complex collateral in collaboration with Model Risk and Platform teams.
  • Contribute to Non-Standard Booking process including Complex Booking approval, review of approximate booking and non-contractual data methodologies (where not covered by Platform).
  • Contribute to FBL/Volcker Rule control plans.
  • Participate in VaR sign off process.

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.

Core accountabilities

  • Coordinate market risk analysis across a range of contexts.
  • Continuously improve market risk processes and frameworks, leveraging on experience and best practices.
  • Deploy specialised knowledge and expertise in assessment of market risks. Establish appropriate monitoring and reporting.
  • Deliver projects at the scale of a single or a few activities, and with some cross-functionality. Contribute to larger projects
  • Develop deeper relationships with business to understand needs. Use this knowledge to contribute to the processes and framework.
  • Good developed judgement regarding when and how to escalate. Support and act as resource for more junior staff.

Technical & Behavioral Competencies

  • Bachelor’s Degree in Finance, Economics or other related disciplines
  • 5 years of experience in risk management minimully. Prior experience in market risk is preferred
  • Strong quantitative and analytical background with existing knowledge of financial markets.
  • Understanding of the governance and controls surrounding risk monitoring including, VaR, stress testing, various return measures and experience with stress construction
  • Excellent written and spoken communication skills with ability to explain technical concepts in practical terms; must be able to converse with a wide variety of groups.
  • Demonstrated ability to work effectively and independently across different businesses and functional areas with thorough attention to detail in a high pressure environment.
  • Ability to challenge the portfolio manager's market positions and views and help assess the best allocation of risk and capital to various positions and businesses.
  • Self-motivated, diligent, strong sense of accountability and good at following up on issues.

About BNP PARIBAS

 
As the leading European Union bank, and one of the world’s largest financial institutions with an uninterrupted presence in the region since 1860, BNP Paribas offers a wide range of financial services for corporate, institutional and private investors spanning corporate and institutional banking, wealth management, asset management and insurance. 
 
We passionately embrace diversity and are committed to fostering an inclusive workplace where all employees are valued and encourage applicants of all backgrounds, including diversity of origin, age, gender, sexual orientation, gender identity, religion applicants who may be living with a disability. We have a number of internal employee networks in place to empower our staff to act and challenge the status quo.
 
• BNP Paribas PRIDE is highly active in favour of the LGBTQIA+ community
• BNP Paribas MixCity which fosters better representation of women at all levels of the organization
• Ability, the mutual aid network for employees with a disability or a disabling or chronic illness
• BNP Paribas CulturAll which celebrates diverse backgrounds
 
BNP is committed to financing a carbon-neutral economy by 2050. The Group is a founding member of the Net-Zero Banking Alliance and has set up its own Low Carbon Transition Group to support its clients through their energy transitions.
 
 
More information 


 
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