The bank for a changing world

We are looking for

Quantitative Backtesting Data Team Leader

Job type Permanent
Schedule Full time
Brand BNP Paribas
Level of experience 3 to 5 years
Apply REF: 1905RSK2751

BNP Paribas is a leading European bank with an international reach. It has a presence in 73 countries, with more than 192,000 employees – including more than 146,000 in Europe and over 4,000 in Portugal alone.

BNP Paribas is present in Portugal since 1985, having been one of the first foreign banks to operate in the country. Today, BNP Paribas has several entities operating directly in this territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

Worldwide, the Group has key positions in its three main activities: Domestic Markets and 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. The Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporate and institutional clients) to realise their projects through solutions spanning financing, investment, savings and protection insurance.

 

DEPARTMENT OVERVIEW


 

RISK ERA Models is responsible for the elaboration and the maintenance of the credit risk analytics and methodologies at Group level. The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group.

The Risk Function is a cross-functional and independent function of the BNP Paribas Group, which covers all businesses and territories and operates in the following areas:

- Credit risk – Corporate & Retail

- Market and counterparty risk

- Refinancing and liquidity risk

- Insurance contract underwriting risk

With risk experts spread over five continents, the Risk Function's mission is to:

- advise the General Management on the definition of risk policies

- ensure risk management and contribute with "his second look" to monitor that the risks taken by the Bank are in line with its policies

- postpone and alert the bank's management of the Bank's risk status.

The ERA team is one of three cross-functional teams in the Risks function.

By virtue of its position and function, it covers all areas and methodologies (Retail & Corporate, Credit, Counterparty, Market and Liquidity Risk, backtestings, stress tests, reportings).

Within ERA, RISK ERA Models is composed of credit and quantitative analysts who work in close cooperation with the various credit risk streams and with the businesses in order to leverage on the existing expertise within the Group.

RISK ERA Models mission is to develop and continually improve the group's risk modelling & measurement, analysis and back-testing capabilities on credit risk.

Its first priority is to provide tools for the Bank’s credit risk management that comply with regulations.

RISK ERA Models is organized in three teams:

  • one is dedicated to credit risk models design on Group Model

  • one to their transversal and regular performance assessment on Group and Retail Models

  • and the last one to the model portfolio management.

Within the RISK ERA Models department, the candidate will join the model performance team.

This team tracks the performance and robustness of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF).

The team carries out many other studies and participates in various transverse projects.

Due to growing demands from European regulator/supervisor, the model performance team is carrying out studies that are becoming increasingly important.


Main activities:

 • Realization of the model performance (on EAD, PD and LGD parameters) and participation in the setting up of new studies:
  • Database preparation
  • Model performance production
  • Report preparation
  • Level 1 control
  • Methodology improvement
  • Control and data collection on the GRR for backtesting non retail perimeter production of LGD and EAD/CCF
- Collection of information- Data quality control- MonitoringThere will be a lot of interactions with different stakeholders and good communication skills and knowledge credit analysis will be appreciated • Improvement of the existing tools and processes:- Ensure the continuous improvement of existing programs and processes for carrying out various studies- Strong focus on documentation.

CONTRIBUTIONS FROM THE MISSION

- Acquire a broad vision of the existing rating system within the group, both in the Corporate & Institutional Banking scope and in the Corporate and retail scope of the network banks.

- Development of knowledge and skills in credit risk data management and in the interpretation of risk measures

PROFILE

o Undergraduate or Master degree in economics, finance, statistics, mathematics, data science

o Minimum 5 years of experience in a similar area in the financial sector

o Good capacity and mindset for innovation and adaption in transversal environments

o Experience in managing, leading and organizing teams ensuring high quality of deliverables in tight deadlines and challenging environments

o Experience in manipulation of relational databases (SQL, SAS, Python and R) and data quality analysis

o Mastery of the SAS tool / Knowledge in R/Python would be appreciated

o Good knowledge of Basel 3 prudential regulation for credit institutions  

o Proficiency in Microsoft Excel, Power Point and Word

o Good writing and communication skills (English)

 SKILLS

- Rigor and precision

- Analytical skills

- Organizational capacity

- Initiative  

- Good communication skills

Please note that only applications submitted in English will be considered.

In case you are selected for this role, further documentation will be requested to support your hiring process.


Primary Location: PT-11-LisbonJob Type: Standard / PermanentJob: RISKSEducation Level: Master Degree or equivalent (> 4 years)Experience Level: At least 5 yearsSchedule: Full-time Behavioural competency: Ability to share / pass on knowledgeTransversal competency: Ability to inspire others & generate people's commitment