Bank Overview

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

SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas.

The team sits within RISK Models and Regulatory, which is part of the RISK Function of the group. The RISK Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At BNP Paribas, a well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.

SIGMA’s mission is to develop and continually improve the Group’s risk modelling & measurement, analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by architects responsible for ensuring consistency across methodological research and development activities.

The team’s remit includes all the IMM 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. In the context of market risk modelling, the incoming regulation surrounding the “Fundamental Review of the Trading Book” (FRTB) is becoming an increasingly important cornerstone for the team.

Purpose & Scope of role

  • Purpose:

Carrying out quantitative analyses and developments as laid out in the team’s mission statement

  • Scope:

Global responsibility for the Group, in line with SIGMA’s team mandate; within SIGMA, the sub-team responsibility comprises a given asset class (e.g. equity/commodity) or function (e.g. methodology development architecture)

Key Responsibilities of role

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 for the following: 

  • Lead 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, respecting the aims of accurately capturing risks whilst considering system or other 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;
  • Contribute to the quality assurance processes surrounding risk measurement including back-testing and the 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.

Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the initiatives within the Cross-Product stream of SIGMA.


Experience, Qualifications & Competencies

To be successful in this role, the candidate must meet the following requirements:

  • A strong interest and knowledge of risk management best practises, financial markets and economic developments;
  • A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance or equivalent relevant experience;
  • Proven experience in a quantitative risk modelling capacity;
  • A practical knowledge of derivatives, their risk drivers and the models used to price them; sound understanding of stochastic processes and their application to risk factor simulations;
  • Exposure to backtesting methodologies, collateral modelling approaches and initial margin models.
  • Design and implementation of quantitative models, using C# or C++ in a source-controlled environment;
  • Strong communication skills, both written and verbal;

In addition, the candidate must have a track record of ability to:

  • Work to 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.

Primary Location
GB-ENG-London
Job Type
Standard / Permanent
Job
RISK
Education Level
Bachelor Degree or equivalent (>= 3 years)
Schedule
Full-time
Reference
GBR000890


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BECAUSE YOU'RE THE KIND OF PERSON WHO WANTS...

  • What if we told you that working in our Group may not be quite what you think? BNP Paribas business lines and careers are constantly evolving to meet the expectations of our clients and society as a whole.

  • 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.

  • 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.

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