Model Validation Quant - RISK TEAM
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 organization 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 a global, integrated, and independent function.
RISK’s main missions:
• 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.
RISK is a deconcentrated organisation covering all the Business Lines and encompassing the whole chain of risk-taking.
A risk framework is adapted to each Business Line covering at least the following major risk types:
• Credit Risk
• Market & Counterparty Risk
• Liquidity Risk
• Insurance Risk
• Operational Risk
• Model Risk
Encompassing the whole chain of risk-taking and monitoring:
• Risk policy
• Risk analytics and modelling . Risk anticipation
• Portfolio analysis: risk concentrations and stress-testing
• Reporting and monitoring
• Risk independent review & control
• Counterparty & transaction analysis
II JOB DESCRIPTION
Market, counterparty and valuation risk methodologies are developed for both regulatory and internal risk management purposes.
The European Regulation called CRR allows computing market risk own funds requirements by the Internal Model Approach (IMA), and counterparty risk own funds requirements by the Internal Model Method (IMM) and the Advanced CVA method (A-CVA).
As part of the IMA, the BNP Paribas Group has developed Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM) metrics for market risk own funds requirements computations at Group portfolio and subsidiary entity levels, and the bank works also on developing new market risk methodologies to comply with the forthcoming Fundamental Review of the Trading Book (FRTB) regulation.
The global VaR and Stressed VaR metrics have been realigned to measure also general market risk at the level of the BNP Paribas Intermediary Holding Company (IHC) according to the US Market Risk Rule.
As part of the IMM and A-CVA, the Group has developed Effective Expected Positive Exposure (EEPE) and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities, furthermore, the bank is implementing also the new Standardised Approach for Counterparty Credit Risk (SA-CCR) metric.
The CRR requires also the prudent valuation of all instruments that are fair valued for accounting purposes. The objective of the CRR is to ensure that the valuation of assets used for regulatory purposes is not higher than the true realisable value and, henceforth, the CRR imposes the computation of an Additional Valuation Adjustment (AVA) to be deducted from own funds.
Besides the prudential capital requirement measures, the Volcker Rule, the French Banking Law and ICAAP require market risk metrics also for assessing hedge effectiveness, for limit setting and for exposure management.
Furthermore, in most of the jurisdictions rules have been set requiring the modelling of initial margin for non-centrally cleared derivatives. Our Group has developed also various kinds of margining models.
Finally, various market and counterparty risk metrics, including amongst other the Potential Future Exposure (PFE) measures, have been developed at BNP Paribas and its subsidiary enities for internal market and counterparty risk management.
Sound model risk management practices require that these market, counterparty and valuation risk metrics, and any new developments, are subject to initial and periodic independent reviews. Depending on the rules in the various jurisdictions and depending on the internal model risk ratings, these models are subject to various levels and frequency of model reassessment, and also model changes are often subject to independent reviews.
The position in subject is about performing independent reviews of market, counterparty and valuation risk methodologies, and to advise management about the level of model risk born by using these methodologies.
This is a wide range of activities. Therefore, the precise scope of the review activity of the person will depend on the exact skills and experience of the candidate.
These review and model risk assessment activities are fulfilled today by RISK Independent Review (RISK IR) team members who are located in Paris, Brussels, London and New York. The new colleague would join this international RISK IR team and work together with them, as well as with other BNP Paribas colleagues outside RISK IR who developed, implemented, operate and use the methodologies in scope.
Depending on the level of the position, the candidate is expected to be a specialist, expert who is able to perform the required qualitative and quantitative reviews on his/her own, as well as, who is potentially able to guide and manage team members assigned to the review projects.
The candidate shall have sufficient technical expertise to fulfil these requirements and shall have an audit mind-set, furthermore, skills to review methodologies that are often regulation-driven. The candidate for a senior position is expected to have experience in regulatory affairs.
III PROFESSIONAL QUALIFICATIONS / CANDIDATE PROFILE
Must have hard skills:
• Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.
• 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 Management side. A relevant work experience of 4-6 years is expected for this position.
• In-depth knowledge of Capital Markets: how the markets operate, what the products are, what the main risk drivers are, how the financial instruments and derivatives are revalued, and what the shortcomings of the industry standards are.
• Familiarity with pricing models, market and/or counterparty risk modelling techniques and regulatory requirements.
• 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.
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.
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.
Nice to have hard and soft skills:
Experience with model validation techniques and processes.
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 programming skills in C++ / C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives.
Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.
IV WHAT WE OFFER
We offer the opportunity to work in a dynamic international environment where the candidate can learn 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. There will always be opportunities to stand out and build an enviable reputation within a business of this size and the candidate will enjoy the benefits of working in an extremely focused and highly professional team with a reputation for delivering excellence.