The bank for a changing world

We are looking for



Quantitative auditors on credit risk models – m/f/x


In the current financial context, the RISK function has gained significance within all banks. The Basel regulations are regarded as one of the most important instruments for estimating and quantifying the financial institutions' risks. The Basel parameters are used, for instance, to measure the solvency of financial institutions. Compliance with regulations is a top priority for both the management and the supervisory bodies.

The RISK Independent Review and Control (RISK IRC) department is set up as a single, integrated and independent global practice, in charge of responsibilities that require a degree of independence from the rest of RISK. The main missions of RISK IRC are to bring homogeneity in the Model Validation process, build a group Model Risk Management governance, leverage on the independent review work to strengthen risk management and perform the independent review of regulatory internal models and risk methodologies

Within RISK IRC, the team Credit Risk Methodology (CRM) is in charge of the review (assessment of the performance and of the compliance) of the models and methodologies developed to the measure of credit risks. It includes the regulatory models (PD, LGD and EAD) but also other types of methodologies as for instance credit granting scores, ICAAP or IFRS9 ECL and Stress testing methodologies. The team is a global franchise, operates from two locations (Paris and Brussels) and will start activities in Madrid.

RISK IR CRM has the following tasks:

·       to validate the regulatory compliance, suitability and performance of the Group's internal credit risk management systems:

o   with regard to methodologies, models, procedures and information systems

o   for all of BNP Paribas:

-  subsidiaries and activities

-  geographic branches

·       to list and interpret the regulatory standards and best practices

·       to contribute to the Group Model Risk Management governance

·       Interact with supervisory bodies


Your future job


Your tasks include:

·       the certification of new rating systems and the review of existing systems (review of annual backtesting or in-depth analyses)

·       the approval of request files destined for the supervisory body (ECB)

·       the assessment of closure of internal or supervisory recommendations

In this respect, you are responsible for carrying out validation tasks regarding the quantitative and sometimes qualitative aspects of the risk management systems of the BNP Paribas Group for the internal credit rating methodologies and procedures. These methodologies are often based on mathematical models with various levels of complexity.

A typical certification is performed by a small team of specialists (1-3 persons) and consists of the following steps:

·       Defining the validation strategy and drafting a work plan

  • Analysing and questioning all aspects of the rating system in great detail. For the quantitative aspects, this may include:

–     looking up and collecting additional relevant data to complement and verify the
data used by the model developers

–     performing alternative (statistical) tests (using SAS or other appropriate software)

–     developing benchmark models

  • Having discussions with model developers and other stakeholders
  • Presenting and discussing the conclusions with the involved parties (management of the métiers and risk teams)
  • Presenting and stating the results of the certification activities to expert committees, supervisors (European Central Bank), business auditors, etc.

The different missions, lasting from several weeks to several months, are summarized in a report written in English. This report contains the detailed analyses performed during the assignment, the recommendations and the final conclusions.

Finally, you are also responsible for monitoring the evolution of the different regulations.


Your profile and skills:

·       You have a Master's degree (in Engineering, Mathematics, Statistics, Physics, Econometrics, Commercial Science, Economics or equivalent) and a relevant experience in the credit risk modelling (at least 5 years). Previous experience in an audit function is an asset.

·       You have a good knowledge of SAS software. Knowledge of other statistical packages (R, Python, …) is an asset.

·       You like to obtain a good oversight over a business activity in order to identify the key risks

·       You ideally have knowledge of the regulations for credit institutions or are willing to acquire this knowledge.

·       You have a good ability to express yourself in writing (English).

·       You are independent, accurate and inquisitive; keeping a critical eye on all information, with a sense of initiative and good organisational skills.

·       You are a good communicator at all levels of the organisation (including senior management), are persuasive and work well in a team.

·       You like working in an environment with short-term assignments

Primary Location: ES-MD-MadridJob Type: EstándarJob: RISKSEducation Level: Master Experience Level: Al menos 3 añosSchedule: Tiempo completo Behavioural competency: Capacidad para colaborar/ trabajar en equipo, Capacidad para tomar decisiones, Capacidad de organización, Proactividad, Pensamiento crítico, Capacidad de síntesis/ simplificación, Resiliencia, Orientación a resultadosTransversal competency: Capacidad de análisis, Networking, Capacidad para diseñar y adaptar un proceso, Capacidad para gestionar un proyecto