GROUP BNP PARIBAS
BNP
Paribas Group is the top bank in the European Union and a major international
banking establishment. It has close to 185,000 employees in 65 countries. In
Spain we are more than 5,100 employees within 13 business lines.
RISK HUB
RISK
is an integrated and independent control function of the BNP Paribas Group. It
is the second line of defense on the risk management activities of the Group
which are under its direct responsibilities, including credit and counterparty
risk, market risk, funding and liquidity risk, interest rate and foreign
exchange risks in the banking book, insurance risk, operational risk, and
environmental and social risks.
RISK
aims at being a partner of the businesses by contributing to their sustainable
development, but also a gatekeeper to ensure risks taken remain compatible with
the Group’s Risk Appetite and its strategy.
RISK
Iberian Hub Madrid is a transversal platform servicing the RISK Function by
covering added-value activities around credit risk, market risk, operational
risk and data protection. Offering a wide range of services to RISK teams, from
consulting to cyber security going through data analysis, modelling or
artificial intelligence.
ABOUT THE JOB
MISSION
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 Global Framework department and in particular its RISK Models &
Regulatory group. SIGMA’s mission is to develop and continually improve the
group’s risk modelling & measurement, analysis and backtesting
capabilities. SIGMA is organised in streams, each responsible for a given asset
class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk
methods (Cross-Product), as well as a quantitative development / architecture
stream. The team’s remit includes internal risk models in use within the Bank,
such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well
as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space.
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 in some of the following areas:
•
Participate in 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 and models, respecting the aims of
accurately capturing risks whilst considering system or other environmental
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.
•
Ensure that all methodologies, tools, processes and procedures are documented
to a high standard satisfying both internal and regulatory expectations, and
that any methodological changes and corresponding decision of governing bodies
are promptly reflected in relevant documentation.
•
Contribute to the quality assurance processes surrounding risk measurement
including backtesting and VaR Adequacy (P&L Explain) process.
•
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.
REQUIREMENTS
- Candidates with both industry background and academic research background are welcome.
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. Both Masters and Ph.Ds. are welcome.
- The Department conducts business in English, thus a good command of both verbal and written English is essential.
Further requirements are specified separately for experienced
candidates with financial industry background and for experienced candidates
with academic research background:
Experienced candidates with
financial industry background are welcome from
banks, investment companies and consultancies:
- A strong interest and familiarity with risk management best practises, financial markets and economic developments.
- Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation, hedge funds) are also welcome.
- Sound understanding of stochastic processes and their application to risk factor simulations.
- A practical knowledge of derivatives, their risk drivers and the models used to price them; exposure to at least one of the following asset classes: credit, repo, IR/FX, equity, commodities, preferably from a risk management perspective.
- Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment.
- The 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. Previous experience in interacting with Front Office, validation functions and regulatory or supervisory bodies is a plus.
- A good understanding and awareness of the regulatory framework for banks is desirable.
Experienced candidates with academic
research background are welcome from the range of disciplines: from
the field of financial mathematics to broader fields of mathematics, physics
and engineering. We welcome both academic and industrial scientists. Successful
candidate will be provided internally with on the job training in financial
mathematics and banking fundamentals.
- Candidates expected to have PhD with further research experience.
- Candidates should demonstrate proven record of research and academic excellence; published work is a plus.
- More senior candidates are expected to demonstrate leadership in collaborative research projects.
- The 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. Previous experience in joint research with other research teams is a plus.
- Reasonable coding skills are expected.
In addition, a candidate from any background 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.
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.
BENEFITS
•
Training programs, career plans and internal mobility opportunities, national
and international thanks to our presence in different countries.
•
Diversity and Inclusion Committee that ensures an inclusive work environment.
In recent years, several employee communities have been created to organize
diversity and inclusion awareness actions (PRIDE, We Generations and MixCity).
•
Corporate volunteering program (1 Million Hours 2 Help) in which employees can
dedicate time out of their working hours to volunteer activities.
•
Flexible compensation plan.
•
Hybrid telecommuting model (50%).
•
31 vacation days.
Diversity and inclusion
commitment
BNP Paribas Group in Spain 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/paternity, 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.
