BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, 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.
BNP Paribas Corporate and Institutional Banking is a globally recognized leader offering capital markets, securities services, financing, treasury and advisory solutions.
Business Area/Dept Overview
The mission of RISK Global Markets (“RISK GM”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market, counterparty, valuation and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.
The VALUATION ADJUSTMENTS department is within RISK GM, the team that owns all responsibilities related to Fair Value Reserves (FVR), Methodology Corrections (MC) & Prudent Value Adjustments (PVA) across all Global market trading activities and regions, excluding Model FVR & MC.
Purpose & Scope of role
Fulfil the mission statement of RISK Global Markets Valuation Adjustments by taking ownership of the definition, maintenance, documentation, reference implementation, testing and release of methodologies used for Valuation adjustments covering Independent Price Verification (IPV), Fair Value Reserves, Prudent Value Adjustments among all asset classes. Contribute to maintaining the right and the related Valuation Input cartographies.
The role provides a unique opportunity to join the Model & Methodologies team within the RISK Global Market organisation and to be directly involved in reinforcing the governance, controls and visibility of RISK GM on all IPV processes while actively participating in strengthening the industrial features of the valuation adjustment platform.
Key Responsibilities of role
- Drive the creation of a reference implementation library and environment for Valuation Adjustments Methodologies, its standards and practices and promote its global usage.
- Establish state-of-art methodology documentation practices and enforce them.
- Identify methodology improvement needs across all GBLs and introduce more methodology consistencies.
- Drive initiatives to clarify the criteria of selection of data sources for IPV, FVR or PVA methodologies.
- Decide and defend methodology choices after discussions with main stakeholders from Trading to Market Risk Officers and justify such choices to external validators.
- Own, maintain and enhance the current stock of methodologies on FVR, MC, IPV and PVA and their documentation following group established documentation guidelines.
- Develop relevant interactions with the valuation Risk Officers, Internal 2nd LoD to gather a large consensus on methodology retained.
- Stand ready to lead, help and contribute to the tasks of other team members and data analysts.
- Constantly review the whole set of methodology to define key priorities of improvements.
- Constructively provided and received feedbacks to seek continuous improvements on the quality and relevance of the work.
- Thrive in sharing information with the team and beyond on a proactive and easy to read format.
Experience, Qualifications & Competencies
- A proven record of hands-on accomplishment in the financial industry in quantitative or methodological fields.
- Experiences in modelling the pricing of financial market products from securities to derivatives.
- Quantitative fundamentals from relevant qualification. A minimum of a Master’s degree from a well-recognised university in Financial Engineering, Maths, Sciences, or a PhD or related discipline is expected.
- Ability to effectively deliver and adapt complex messages according to the targeted audience
- Ability to gather, prioritise and integrate large amounts of information, to process and simplify it.
- Ability to lead development of new ideas that add value to the company. Open to using different forms of technology.
- Ability to systematically produce relevant documents with accurate, precise and verified information.
- Aims at exceeding clients’ expectations, by seeking tailored solutions to their specific needs.
- Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term.
- Ability to persuade, influence, convince and engage others to take action or support an issue/objective, while taking into account the goals of the organisation.
- Demonstrable and hands-on experience with Python or more advanced coding languages.