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
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
· to validate the regulatory
compliance, suitability and performance of the Group's internal credit risk
with regard to methodologies, models, procedures and
for all of BNP Paribas:
· to list and interpret the
regulatory standards and best practices
· to contribute to the Group
Model Risk Management governance
· Interact with supervisory
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
A typical certification is
performed by a small team of specialists (1-3 persons) and consists of the
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
(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
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