The bank for a changing world

IHC - Assistant Vice President - PPNR Modeling Analyst - Finance - CCAR

Contract

Standard / Permanent

Location

US-NY-New York

Job function

FINANCIAL AND TECHNICAL EXPERTISE

Reference

FIN000478

Business Overview
CIB is responsible for the corporate and investing activities of the BNP Paribas Group. CIB is divided into multiple areas, including: Asset Liability Management/Treasury, Corporate Finance, Global Equities and Commodity Derivatives, Fixed Income, Portfolio Management, Corporate Banking, and Value Preservation Group. These groups cover a wide range of products, clients, and markets across the financial services industry.

In accordance with section 165 of the Dodd-Frank Act (DFA), BNP Paribas is required to establish an intermediate holding company (IHC) over its US subsidiaries. An IHC Program has been established with a series of workstreams to support risk-based capital and leverage standards, regulatory reporting, enhanced governance requirements, liquidity risk management, and other pending requirements.

Scope
BNPP is seeking candidates to join the Forecasting and Analytics team, which is part of the broader Capital Management team established to support the IHC Program. The team will be responsible for supporting the scenario design and development of models to calculate projections under baseline and stressed scenarios. The team will work closely with other business and functional areas to promote compliance with various Fed regulations and initiatives, including the Comprehensive Capital Analysis and Review (CCAR) framework. As part of CCAR, bank holding companies are required to submit a comprehensive capital plan with three components as follows: planned capital distributions, capital adequacy under base and stress conditions (i.e., capital stress tests), and extensive documentation on the capital planning process.

Responsibilities
The candidate will be responsible for developing quantitative models that will be used for producing baseline and stress projections over a nine quarter horizon. The Modeling team will develop these models in conjunction with the relevant lines of business (LOB) in line with model development standards. Once the models are live in production, the Modeling team will be responsible for ongoing model enhancements that the businesses will need. This process will require comprehensive and transparent supporting documentation which will ultimately be submitted to the Fed as part of the CCAR submission.

Detailed responsibilities will include (but not limited to) the following:

• Develop and enhance models (in partnership with LOBs and functional areas as applicable) to support stress testing and economic capital. Examples include the following:
o Pre Provisional Net Revenue / Balance Sheet
o Credit Risk / Market Risk / Counterparty Credit Risk models
o Aggregation model
• Coordinate with Model Risk Management to ensure appropriate model development standards are followed
• Review and document model approaches, assumptions, and model inputs used
• Test developed models to validate operational efficiency ahead of business line and functional area hand-off


Qualifications
• Bachelors or advanced Degree in accounting, finance or economics preferred
• 4 – 6 years of financial services industry experience (capital markets knowledge preferred)
• Proven experience in developing stress testing / forecasting models for various financial scenarios that incorporate economic and market factors
• Knowledge of capital markets and associated risk factors
• Working knowledge of current regulatory landscape (i.e., CCAR, Basel)
• SQL knowledge preferred
• Familiarity with modeling tools (e.g., SAS, MATLAB)
• Experience producing quantitative models and complex formulas / macros to calculate and forecast financials over various economic scenarios
• Strong attention to detail
• Strong verbal and written communication skills
• Ability to adhere to strict project and production deadlines, showing strong planning and organization skills
• Proficient in Microsoft Office Suite (Word, Excel, Access, & PowerPoint).