Department Overview:
The mission of RISK function is to provide Senior Management of the Group, of the Operating Divisions, and of RISK with full transparency and dynamic analysis of the risks and clients managed by CIB and IS Business Units, as per the scope detailed below.
The scope of Risk function is:
· On Market & Liquidity risks: it is Group-wide. RISK Function comprehensively covers the CIB capital markets activities, ALM Treasury as well as the IS Business Units,
· On Counterparty risks: it is Group-wide. Risk Function covers all counterparty risks arising from derivative and repo transactions,
· On Credit risks: credit analysis and approval for all Financial Institutions (including Funds and SPVs), Sovereigns, Wealth Management clients and other IS private clients,
· On Insurance risks: risks generated by Insurance activities,
· Depending on mandates given, Risk Function also assumes, directly or indirectly, responsibilities on the above risk categories in specific areas of the Retail Business Units.
RISK Function will contribute to the definition of the Group’s risk appetite, its risk decision making process and the optimisation of capital allocation to support the development of the Operating Divisions. Risk Function supports with full commitment all GRM initiatives and actions.
Job Description:
The Risk Systems team within RISK Function is responsible for the ongoing evolution and operation of the bank's market and counterparty risk systems, which are responsible for the daily calculation of the market risk capital figures using regulator-approved advanced methods (Monte-Carlo).
The position sought is in the “Market and counterparty Risk Calculation & Analysis team (RCA)”, who is responsible for providing risk figures across all asset classes to the Risk - Capital Markets Department for market/counterparty risks. This has broad coverage across all trading sites and all products (vanilla and exotics) within all CIB capital markets business lines.
The team offers a unique exposure to a broad range of risk quantification techniques (sensitivities at deal level, Value at Risk, other Capital Charge indicators, Stress testing, Reserves, Counterparty Risk Potential future exposure(PFE)) and their integration in a single market and counterparty risk system.
The candidate's main responsibilities are:
· To be responsible, within a team of 4 people located in NY for the daily monitoring and validation of the risks figures provided by the market risk system with a focus on Fixed Income (Credit, Interest Rate Derivatives, FX, Equities ) business for the LATAM region. This includes global markets front office risk data, internal risk computations and Capital measures computed internally based on in-house methodologies.
· To provide explanation and support to the Risk Function analysts and business lines about the risks changes and the calculation methodologies.
· To contribute in developing risk analysis tools to improve the coverage, accuracy and the timeliness of the various risk calculations.
· To build close links with the Risk Function analysts and the business managers about the definition and the integration of new types of risks or products.
· To contribute to the development of new ways to look at risks via the internal market risk system.
· To provide training and guidance to new users of the system where required.
Preferred Qualification:
- Master degree in Finance / IT / Mathematics ; Engineering
Other Skills Required:
- Solid IT background preferably with good knowledge of financial products and risk management
- Flexible and responsive approach because of the exposure to varied demands
- Good written and verbal communication due to the interactions with various professionals (risk analysts, IT, auditors)
- Problem solving approach and good intuition in risk measurement
- Interest and aptitude to apply quantitative techniques for measuring risks of derivatives products
- Pragmatic approach to handle the production process and to deal with exceptions
Languages :
- Portuguese (Fluent) / English (Fluent).
BNP Paribas is committed to providing a work environment that fosters diversity, inclusion, and equal employment opportunity without regard to race, color, gender, age, creed, sex, religion, national origin, disability (physical or mental), marital status, citizenship, ancestry, sexual orientation, gender identity and gender expression, or any other legally protected status.
