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 / Department Overview
Systems InteGrated Methods and Analytics (SIGMA) is a team of specialised risk officers with global accountability for the counterparty, market and liquidity risk methodologies within the bank’s Risk function. It also maintains the internal model methodology for operational risk. Organisationally, it is embedded in the Risk Models group which itself is part of Enterprise Risk Management and Operational Risk Control (ERM & ORC).
The team services the business activities within the Risk function’s scope and provides Risk and the General Management with key risk metrics for their decision making process, by researching and adopting best practices for measuring and monitoring the risks in scope, working in close partnership with Risk Systems to deliver solutions to users. The team’s responsibility also includes any other market and investment related risks, including contributions to CVA (xVA) and capital related measures. This mission requires that the team:
- Investigate, analyse and design methodologies respecting the aims of accurate capture of risk and ease of use and understanding by risk managers, whilst retaining consistency within the overall methodological and technical architecture and taking requirements gathered by the Risk Systems Business Analysis team into account. The ultimate solution must also be balanced with the cost of implementation and take account of the effect on system performance.
- Working in close cooperation with the Risk Systems Business Analysis teams, analyse the input data required for the methodology and ensure this data can be sourced and loaded into the system.
- Design, develop and test the (prototype or production) code required to implement the methodology in the risk systems, in cooperation with the Risk Systems Calculation Engines team.
- Design and implement the calibration and backtesting methodologies and support the Risk Systems teams responsible for the corresponding production processes.
- Lead methodology projects, ensuring the requirements are met and facilitating good communication between SIGMA, Risk Systems and the risk analysts as well as Front Office research teams and other project stakeholders.
- Complementing this mission the team is also required to:
- Provide training, explanation and ad-hoc analysis to facilitate the understanding of the risk methodology and its results amongst the Risk community, business and senior management. Propose and participate in the general development of better risk management methods and practices across the Risk function and to contribute to the promotion of the Bank's risk culture and training efforts.
- Contribute to the quality assurance processes surrounding risk measurement including the VaR Adequacy (P&L Explain) process.
- Cooperate with and support the Risk Independent Review & Control teams in the review and validation of risk models, ensuring their engagement through the project lifecycle as appropriate.
- Assist Risk in the prompt and accurate risk assessment of deals, where the standard systematic methods are not applicable or not appropriate, including for the purposes of overriding such exposures in the system. Also to provide tools, methods and training to promote the independent capability of risk officers to assess the risk of such transactions.
- Contribute to Risk’s additional risk measures and control processes such as stress-testing and to assist the Risk Strategic Analysis & Reporting teams to ensure their appropriate communication to senior management.
- Support the interaction with supervisors and regulators through the Risk Independent Review & Control and the Risk & Regulatory Strategy teams, to participate in industry working groups on risk methodology topics and to cooperate with supervisory missions on the explanation and elucidation of risk and capital calculations.
Purpose & Scope of Role
- Carrying out quantitative analyses and developments as laid out in the team’s mission statement
- 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
- The primary focus will be on the creation, maintenance, documentation and testing of algorithmic code, but the role requires a solid quantitative background and a strong interest in this aspect. The work scope comprises the full range of risk measurement methods in the team’s remit, across asset classes and across counterparty risk and market risk perimeters. Examples include counterparty risk models, pricers, model calibrations and backtesting models, as well as market risk simulations and pricing methods.
- The role requires a contribution to both methods and system requirements and design rather than just implementation of a detailed technical specification. In this respect, an active contribution to methods, system requirements and design discussions is expected; where relevant, complemented by challenging both implementation details and design decisions by tracing these back to the business requirements.
- 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 should meet the following requirements:
- A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
- Design and implementation of quantitative models, using C#, JAVA or C++ (and object-oriented programming in general), in a source-controlled environment (e.g. SVN);
- Proven experience in a quantitative finance environment, preferably in a market risk model development capacity – knowledge of asset simulation and stochastic models is a must;
- Practical knowledge of derivatives, their risk drivers and pricing models;
- Exposure to one of the following asset classes: credit, repo, IR/FX, equity, commodities;
- Understanding of large production systems in some detail, both from algorithmic and performance perspectives;
- Good grasp of the current regulatory framework and its implications on banks’ operations constitutes a significant plus.
This role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role.
In addition, the candidate will have the ability to:
- Work to meet 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.