Quantitative Analyst – Market and Counterparty Risk Modelling
Who we are
BNP Paribas is a leading global bank and a prominent international banking institution, operating in numerous locations worldwide and offering multiple financial services, from retail banking to corporate and institutional banking (clients financing, advisory, capital market services). The bank is head-quartered in Paris but has a significant presence in the UK.
This 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.
Job Summary & Responsibilities
Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA’s (Systems InteGrated Methods & Analytics) 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.
Skills & Experience required:
To be successful in this role, the candidate must meet the following mandatory criteria:
• 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;
• 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.
BNP Paribas operates an equal opportunities policy. We are committed to providing equal employment opportunities for all, regardless of sex (including sexual orientation), race, colour, nationality, ethnic or racial origins, marital status, religion, age or disability.
Opening Date: 23/01/2020
Closing Date: 20/02/2020