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
In many respects, banking is the business of managing risks. At BNP Paribas, our well-developed risk management culture is based on a long-term perspective, a committed management, and a strong and independent risk organisation led by RISK. Created at the same time as BNP Paribas, RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.
RISK is an integrated and independent function and is part of BNP Paribas's control functions. It is the independent second line of defence on the risk management activities of the Group which are under its direct responsibilities, including credit and counterparty risk, market risk, funding and liquidity risk, interest rate and foreign exchange risks in the banking book, insurance risk, operational risk and environmental and social risks. RISK aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group’s Risk Appetite and its strategy. RISK teams engage in an upstream dialogue with businesses to better understand their strategy, objectives and then they express their opinions and recommendations. RISK Independent Review & Control (RISK IRC) is a special unit within the RISK organisation and reports directly to the Group CRO. The independent review arm of the department provides second line of defence for the use of various types of models and, accordingly, is in charge of model risk management.
Purpose & Scope of role
The position in subject is within the team that covers market risk, counterparty risk and valuation risk methodologies. These methodologies are developed and used globally for both regulatory and internal risk management purposes, covering all activities of the Group. These methodologies cover amongst others:
- Market risk internal models like Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM) metrics, as well as the new market risk methodologies that are developed to comply with the forthcoming Fundamental Review of the Trading Book (FRTB) regulation. These models cover all asset classes and all products, whether securities or derivatives, including also the market risk management of CVA and funding value adjustment.
- On the counterparty risk side, the Group has developed Potential Future Exposure (PFE), Effective Expected Positive Exposure (EEPE) and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities. The bank has implemented also the new Standardised Approach for Counterparty Credit Risk (SA-CCR) metric. Furthermore, the Group has developed and uses various types of margining methodologies, like the standard initial margin model (SIMM) used for non-centrally cleared derivatives.
- On the valuation risk front, various methodologies are used for fair value and prudent value adjustments. These valuation risk methodologies cover amongst others measures for market price uncertainty, for close-out costs, for model risk, for concentrated positions and for future administrative costs.
Sound model risk management practices require that these market risk, counterparty risk and valuation risk metrics, and any new developments, are subject to various types and levels of independent reviews, assessing the conceptual soundness, the proper application and the limitations of these methodologies. The vision of the team is to use the mean of proactive model risk management in order to enable better decisions where decisions rely on model outputs. We have built a franchise of model risk management services advising senior management, supervisory authorities, as well as serving internal clients requiring model risk assessments for existing or new models.
The position in subject is about the model risk management of the abovementioned types of methodologies, performing independent reviews, assessing model limitations, and advising the stakeholders about the level of model risk born by the use of these methodologies. There is a wide range of activities covered by the team. Therefore, the precise scope of the review activity to be covered by the new team member will depend on the exact skills and experience of the candidate, as well as on the personal development plan that will be set for the team member. There is a key focus in the team on personal development. The team members are currently based in Paris, London, New York, Brussels, Madrid and Montreal. Although they are spread across the globe, they all work as a one team. Roles and responsibilities within the team are location agnostic.
Key Responsibilities of role
The Model Risk Quantitative Analyst position covers the team members who have already gained sufficient model validation experience to be fully autonomous in carrying out model reviews and to coach entry-level team members for the execution of their reviews. Thanks to their experience, analysts can initiate and put through enhancements to the team’s operation. The analyst role includes also team members with more significant professional experiences as long as they work most of the time alone on their review projects autonomously. It is usually proposed that analysts gradually work on various topics to steepen the learning curve.
Model Risk Quantitative Analysts work mostly on independent reviews interacting with the validation managers and with the auditees. The latter usually includes model developers, teams operating the models, and model users. Those stakeholders may be within RISK, within the Business, or within other Group functions.
Experience, Qualifications & Competencies
Required hard skills
- Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.
- This position requires proven professional experience in alignment with the responsibilities.
- Advanced knowledge of capital markets: how the markets operate, what the key products are, what the main risk drivers are, and risk neutral valuation of the financial instruments and derivatives.
- Familiarity with pricing models as well as with market and/or counterparty risk modelling techniques.
- Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.
- Advanced programming skills in Python / R / C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives.
- Experience with model validation techniques and model risk management processes.
Required soft 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.
- Being at ease with building relationships with people outside of the immediate team and seeking to understand diverse perspectives.
- Ability to engage stakeholders and obtain the required information without power of authority.
- Ability to challenge the proposed methodologies and to provide alternative solutions.
- Validation skills to valorise 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 that are regulation-driven.
- Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources.
- Eagerness to take ownership of projects and be autonomous in finding out the next steps.
- Genuine sense of care and respect for people, acting as a team player and proactively supporting colleagues.
- Good communication skills in English to convey clearly ideas in front of various audiences, and concise writing skills.