The Intermediate Holding Company (“IHC”) program structured at the U.S. level across poles of activities of BNP Paribas provides guidance, supports the analysis, impact assessment and drives adjustments of the U.S. platform’s operating model due to the drastic changes introduced by the Enhanced Prudential Standards (“EPS”) for Foreign Banking Organizations (“FBOs”) finalized by the Federal Reserve in February 2014, implementing Section 165 of U.S. Dodd-Frank Act.
MCLAR -Market counterparty and Liquidity Analysis & Reporting- team is in charge of Regulatory Capital framework, Stress testing and management Information within IHC and Combined US Operations.
As part of Comprehensive Capital Analysis and Review (CCAR) framework, BNPP is seeking candidates to join the Risk team MCLAR Americas.
The selected candidates will build the RWA projections using simplified model/ Non-model methodologies, focusing on Market Risk VaR, Supervisory simplified Formula Approach (SSFA) and De Minimis. The role also involves analyzing Trading losses, proposing Counterparties default Loss methodology and delivering high quality documents subject to independent review and approval. Responsibilities include the contribution and the animation of the Market and Counterparty CCAR Committees as well as the participation in the risk identification program within and beyond Global Markets.
The Candidates will gain extensive and transversal exposure to all aspects of Market and counterparty Risk within IHC/CUSO and will work closely with other business lines and Risk functions.
The candidate will have a transversal role within CCAR framework and will contribute to 4 frameworks comprising: Risk identification, RWA forecasting, Market and Counterparty Loss and Management Information.
Primary duties and responsibilities include but are not limited to:
Identifying new potential market, counterparty and liquidity Unitary Risk within and beyond Global Markets.
Completing Risk Inventory by assessing jointly the materiality and likelihood of each identified elementary Risk.
Ensuring the impact assessment is consistent with current benchmarks and regulatory requirements.
Ensuring the likelihood estimation is closely aligned with historical events.
Analyzing FED scenarios and macro-economic variables and articulate their relationship with VaR/SVaR, SSFA parameters and De- Minimis.
Analyzing VaR components and contribution per Risk factor, Products and Business line.
Analyzing SSFA parameters: (A: Attachment, D: Detachment and W: Delinquency) sensitivity to RWA.
Performing in-depth analysis of products implying De-Minimis capital charge.
Designing netting model to optimize De-Minimis capital charge.
Performing linear regression analysis on the variables provided by the FED.
Designing a simplified methodology based on the materiality, the scenarios and the results of the Risk Identification exercise.
Working closely with governance team and defending RWA projections (VaR based and SSFA) to Independent Model validation team.
Delivering high quality document of simplified model/non-model methodologies.
Setting robust control framework to ensure the accuracy of the RWA projections.
Recalibrating the models on yearly basis based on latest FED CCAR scenarios.
Reporting on RWA projections consistent with regulatory requirements.
Market and Counterparty Loss:
Performing in-depth review of trading loss methodology and justifying Greek approach usage instead of full revaluation when applicable.
Performing in-depth review of Counterparty default loss methodology and calculation.
Designing sound approach to select the defaulted counterparties consistent with CCAR scenarios.
Ensuring consistency of the overall loss results with benchmarks and PPNR projections.
Delivering and maintaining methodology and process documentation.
Preparing presentation of assumptions, limitations and RWA projections to lines of businesses and CCAR Committees.
Coordinating and producing high level materials for CCAR committees.
Animating CCAR forecasting committee and drafting minutes consistent with regulatory standards.
Working closely with Risk team, Business, and the committee chairman to ease the decision making process and receive a sign-off on the final results.
- Advanced Degree in Statistics, Applied Mathematics, Economics or another quantitative discipline is required.
- 5 - 10 years of Experience in Risk is strongly preferred: CCAR guidelines, Market Risk RWA, VaR/SVaR methodology are all highly required areas of expertise.
- Effective and clear oral communication and writing skills.
- Ability to:
- Simplify complex approaches into an easy to understand concepts.
- Multi-task and efficiently negotiate changing priorities and responsibilities.
- Work and deliver results in a deadline oriented and fast paced environment.
- Ease decision-making process by making recommendation after exploring various options.
- Solid analytical and quantitative skills.
- Possess high level of data interpretation skills.
- In depth understanding of time series and historical approaches.
- Strong analytical, research and problem solving skills.
- Good working knowledge of interest rate products MBS, Bonds, Hybrid Swaps, treasuries and securitization.
- Familiarity with statistical tools/languages (SAS, R, Matlab) would be a plus.
- Proficient in Microsoft Office Suite (Word, Excel, Access, & PowerPoint)