Transversal Analytics Analyst
The Analyst position is available within Transversal Analytics team, part of Counterparty and Financing Risk Team (CFR), based in London. CFR Team belongs to RISK Global Markets which is part of the RISK Function within BNP Paribas.
The Counterparty and Financing
Risk team covers the following main responsibilities:
- Analyse counterparty exposures generated by all BNP Paribas derivatives trading activities.
- Counterparty coverage includes all Corporates, Financials and Sovereigns excluding Managed Funds and Hedge Funds.
- All derivatives trading activities are covered: Credit, Interest Rates, Inflation, FX, Equity, Commodities as well as Securities Financing.
- CFR will analyse and model new transactions from a counterparty risk point of view when trades are either complex in terms of pricing or beyond current risk appetite levels (such as Credit Limits, Counterparty specific guidelines and Bank risk policies).
- Whenever a pricer is not available or the specificities of the structure require ad-hoc treatment, CFR will challenge the exposure produced by risk systems and provide alternative risk representation.
- Understand counterparty exposures, mostly through market risk analysis (specific trades, products, liquidity, assessment of potential exotic nature, difficulty to replace the positions).
- Design, in close collaboration with Market Risk Teams relevant stress-tests on a regular and ad-hoc basis. Analyse results to issue recommendations on market risk sensitivities by counterparty. Contribute to the development of the Stress Testing Platform and improvement of the tools and metrics.
- Contribute to regulatory projects (ex: Implementation of Regulatory requirements, computation and analysis of Industry-wide stress testing exercises).
- Proactively contribute to the development of new metrics and ways to monitor counterparty risk following structural changes (Clearing, Margining).
- Monitor Credit/Debit/Funding Valuation Adjustments (CVA/DVA/FVA, hence xVA) of all business units as well as their related hedging activities. Analyse, explain variations and adjust if necessary, provide market risk analysis of these portfolios.
- Monitor the collateral received and posted as part of the financing activities of the Bank but also as part of the CSAs, either as initial margin or variation margin.
The responsibilities of the Analyst are:
- To contribute proactively to the development of analysis tools and metrics. Foster innovation within the team and challenge existing processes and methodologies. Contribute actively to the development of the risk management platform of the future. Anticipate future change in market mechanics and regulatory framework and assess their impact on counterparty risk management.
- To analyse and explain exposures for BNP Paribas’s derivatives counterparties in the scope of the London team (Germany, Austria, UK and Ireland, Middle East). The analyst will be the owner of a given Country/Region. The analyst will follow closely the region and develop expert knowledge (macro-economic environment, legal context and trading activity / key risk drivers).
- The analyst will identify main counterparty risk drivers thanks to market risk sensitivities analysis combined with knowledge of counterparty risk metrics and methodologies.
- The analyst will summarise the main risk drivers, provide an opinion on the quality of the risk representation. Conclusions will be presented in a jargon-free and clearly intelligible format. The analyst will provide recommendations and escalate findings as appropriate.
- The analyst will interact closely with Market Risk teams as well as Front-Office Strategy and Risk team to understand the materiality of the exposure and intricacies of certain types of transactions. Participate to discussions between Risk and Business to define restructuring, novations and other actions to align exposures with current risk appetite levels.
- To capture risk more accurately on exotic or new products, find the best approach to risk the product and implement an exposure override.
- The analyst will manage autonomously its override portfolio in compliance with the governance in place.
- To follow sensitivity analysis and stress tests of the portfolio the analyst will provide recommendations to Credit Officers to complement the credit view on trade approval.
- Analysis may be triggered by various actors: 1. Business Concerns regarding limit usage, 2. Credit Officer concerns on the clients credit quality, 3. Credit Officer Concerns with large exposures, 4. Ad Hoc analysis given recent changes in the Market or changes in the counterparty risk (can be triggered for instance by Legal, regulatory changes in the relationship with a counterparty or a new transaction/novation as well as market events).
- Risk Analysis output may be in-depth or high-level depending on the materiality and urgency of the request.
- To interact regularly with Risk Systems teams to assist with implementation of projects and ensure timely deliveries and consistency with initial technical requirements.
- The analyst will keep up to date with regulatory changes and requirements impacting counterparty risk exposure and capital.
- Analysis of all the collateral risk aspects, i.e. quality, valuation, concentration & liquidity. Also, be on top of regulatory changes related to it (e.g. BIM).
- The analyst will interact with Traders and Sales teams, RISK teams (Transactions and Frameworks, Risk Corporates, Risk Institutionals, Market Risk, Risk methodologies) as well as IT teams, Front-Office Risk teams such as TRS Team (Trading and Risk Strategy) and R3.
- The candidate should have a solid previous experience in a quantitative environment through a technical role (e.g. through model development, capital stress testing or rating analytics).
- Excellent analytical, IT and quantitative skills to extract and aggregate promptly risk at the required level with a critical eye on quality of data. Ability to manipulate large amounts of data essential. Solid technical skills, including advanced knowledge of R and Python essential.
- In-depth understanding of structure of capital markets (role and mechanisms of market infrastructures, front to back transaction chain from booking to settlement, clearing, types of settlement). CFA Level 1 or equivalent is a plus.
- In depth understanding of different risk metrics and their respective merits and caveats for market and counterparty risk. Ability to use efficiently several appropriate metrics as required (PFE, Market Risk VaR, Liquidation costs, Stress tests)
- Ability to react quickly but precisely in high pressure trading situations with Front Office interactions.
- Strong interpersonal and communication skills (written and verbal) to further build the business / risk relationship and to clearly and concisely report the risk in a jargon-free way.
- Ability to work in a team and interact with multiple stakeholders of different technical backgrounds.
- The candidate should be able to efficiently prioritise work and show resourcefulness in order to meet deadlines, whilst having the ability to react to changing priorities as markets move.