Risk Quantitative Analyst
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.
This role is within RISK Global Markets (‘RISK GM’), in the Quantitative Team (‘Quant Team’) responsible for the control, review and approval of all valuation methodologies and models used and developed by CIB Global Markets for official P&L and risk purposes, across all asset classes. This team ensures the regular review of valuation models and that conditions of use are well identified and monitored. The team furthermore has a responsibility for model uncertainty reserves and adjustments, and for ensuring a consistency of approaches across the different Global Business Lines. The Quantitative Team maintains extremely frequent interactions with Global Markets, especially the Quantitative Research (‘GMQR’) team responsible for the development of the valuation models, along with the other teams of RISK Global Markets and RISK more generally.
ROLE AND RESPONSIBILITIES
Specifically, this role within the RISK GM Quantitative Team will have the following responsibilities in collaboration with the global Quant Team:
• Preparation of annual model reassessment and model re-review (model scope, performance, cartography, benchmarking, impact…)
• Maintenance and continuous development of model performance monitoring framework
• Review of GMQR system releases coordinating with GMQR and IT
• Review and control of model use and setup (model configuration, product-model-mapping control…)
• Maintenance and continuous development of the official model logs and repositories (approvals, performance, scope and restrictions, documentation…)
• Coordination of interactions of valuation model approvals with other internal and external approval processes (interactions with Market/Counterparty Risk Model approvals, regulatory approvals for example)
This role will require excellent quantitative skills along with strong financial, market and product knowledge, and an autonomous, pragmatic problem-solving approach. The role will offer an outstanding opportunity to gain exposure to a very broad range of derivatives across different asset classes with very regular interaction with global teams from both RISK GM and Global Markets.
Experience between 1 to 5 years in relevant areas (Data Science, Quantitative and Risk Analysis)
Knowledge of derivatives instruments and associated risk drivers is a must and experience with simulation models (Monte-Carlo, interest rate, FX models, among others)
Strong programming skills in R and / or Python
Solid Excel / VBA
Programming languages, such as javROLE data sascript, jQuery are a plus
Knowledge in Machine Learning
Ability to react quickly but precisely in high pressure trading situations with Front Office interactions, requiring a structured approach and resourcefulness
BNP Paribas is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.
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.