Quantitative Risk Analyst, Market and Counterparty Risk Modelling - Assistant Vice President

Company purpose:

Our company purpose is to contribute to a responsible and sustainable economy by financing and advising clients according to the highest ethical standards.

Our employer promise is built around three pillars:

1. Being a great place to work
2. Committed to sustainability and having a positive impact
3. Being dedicated to the development of our people

Business area

Systems InteGrated Methods and Analytics (SIGMA) is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas.

Organisationally, it is embedded in the Risk Models and Regulatory group which which is part of the RISK Function of the group. The RISK Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At BNP Paribas, a well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.

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 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 teams.
• Design and implement the calibration and back testing 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 analysis and reporting teams to ensure their appropriate communication to senior management.
• Support the interaction with supervisors and regulators, 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.

Job purpose

Purpose:

•         Carrying out quantitative analyses and developments as laid out in the team’s mission statement

Scope:

•         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, transversal) or function (e.g. methodology development architecture)

Key responsibilities

Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA’s mission, taking responsibilities for the following: 

• Contribute to 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, VaR Adequacy (P&L Explain) and model monitoring processes; 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 IRFX chapter of SIGMA

Requirements

To be successful in this role, the candidate must meet the following requirements:

• 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 risk measurement and management, including market risk modelling, counterparty credit risk including collateral 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.

And of course, we expect all our colleagues to embody and practice the Group values (alignment with the Bank’s strategy, commitment, work ethic, integrity and Code of Conduct).

A bit more about why you should join us

1.      We’re a great place to work

We aim for optimal work/life balance (depending on role, this includes hybrid working, flexible working and agile)

We are proud of our award-winning flexible benefits and health & wellbeing strategy. Our flexible benefits include:

• allowance of at least 26 days (plus bank holidays) – with option to buy and sell holidays.
• plans – a 12% non-contributory pension which has been moved to sustainable investments*, life assurance*, income protection and personal accident insurance.
• , neurodiversity assessment and support.
• in London – include physiotherapy, nutrition, massage therapy, physiology, mental health first aiders, seasonal flu vaccinations and free onsite fitness centre.

* Subject to relevant caps

2.      As the eurozone’s largest bank, we are committed to having a positive impact in the world.  

For example, we are committed to Net Zero in all of our financing and investment portfolios by 2050. By 2030, 80% of our energy production financing will be low carbon.

But impact for us means more than climate. It means empowering our people every day. Everyone gets four volunteering days each year - in 2023, we achieved over 18,000 hours of volunteering across the UK and reaching over 4,500 young people.

3.      We believe in our people

We support our people to develop skills to adapt to the ever-evolving world of work and to prepare for the jobs of today and tomorrow. We do this through a comprehensive training offering, talent programmes, mentoring, career days and inhouse career tools.

We are proud of the number of our people who progress and secure new roles internally. In fact, in 2023, nearly half of our positions in UK CIB were filled internally.

Investing in our people also means we have a collaborative and inclusive culture:

• Direct feedback from our people shows that our internal culture sets us apart from our industry peers.
• Each year, nearly 30,000 employees globally are involved in professional networks that play an active role in promoting Diversity and Inclusion within the Group. These include our:

Pride Network, Ability Network (which supports disabled employees), MixCity (gender equality network), Women in Global Markets, Women in Global Banking, Women in IT, Diversity Equity & Inclusion in Technology, Early Careers Network, Multicultural Network and Parents & Carers Network.

Equal opportunities

BNP Paribas is committed to providing a work environment that fosters diversity, inclusion, and equal employment opportunity without regard to age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity, race, religion or belief, sex or sexual orientation, or any other legally protected status.

Adjustments

We don’t want anyone to be disadvantaged in our recruitment processes, so if you have a disability or health condition which may mean that you’d benefit from some adjustments or additional support, please let us know as early in the process as possible.

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