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Model Validation Quant / Prudent Value Methodologies


Standard / Permanent




United Kingdom

Job function


Apply REF: RIS000911

I         Department Overview

In many respects, banking is the business of managing risks.

At BNP Paribas, our well-developed risk management culture is based on a long-term perspective, a committed management, and a strong and independent risk organization led by RISK.

Created at the same time as BNP Paribas, RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.

RISK is a global, integrated, and independent function.
RISK’s main missions:

·         Advise the Bank Management on the definition of risk policy;

·         Contribute as a “second pair of eyes” to ensure that risks taken by the Bank are aligned with its policies;

·         Report and alert Bank Management on the status of risks to which the Bank is exposed.

RISK is a deconcentrated organisation covering all the Business Lines and encompassing the whole chain of risk-taking.

A risk framework is adapted to each Business Line covering at least the following major risk types:

·         Credit Risk

·         Market & Counterparty Risk

·         Liquidity Risk

·         Insurance Risk

·         Operational Risk

·         Model Risk

Encompassing the whole chain of risk-taking and monitoring:

·         Risk policy

·         Risk analytics and modelling

·         Risk anticipation

·         Portfolio analysis: risk concentrations and stress-testing

·         Reporting and monitoring

·         Risk independent review & control

·         Counterparty & transaction analysis

I         Job Description

Prudent Valuation is prescribed by the European Capital Requirements Regulation (CRR, Articles 34 and 105) and by the specific EBA RTS on Prudent Valuation. Its objective is to ensure that the valuation used for regulatory purposes is not higher than the true realisable value and imposes the computation of an Additional Valuation Adjustment (AVA) to be deducted from own funds.

AVA is the final output of the Prudent Value process and constitutes the capital deduction applied to own funds. It takes Prudent Reserves (new element introduced by the Regulation), Fair Value Reserves and Day-One Profit as inputs and it benefits from a diversification effect on Prudent Reserves calculation.

The spirit of Prudent Valuation exists at BNP Paribas and it is applied on a day-to-day basis for a long time. Related methodologies had been developed in the past and are in continuous use. In order to enhance the internal practices with regards to Prudent Valuation, the bank established at the beginning of 2016 an independent review team for the Prudent Valuation Adjustment (PVA) and AVA methodologies. The independent review is seen as an element of sound management practices comforting both the Senior Management involved in the approval of the annual review of Prudent Value as well as Capital Managers bearing the responsibility for the sign-off of the AVA figures.

The validation unit was created within the RISK Independent Review & Control (RISK IRC) stream, which stream reports directly to the Group CRO. This validation unit is responsible for the independent review of prudent value detailed methodologies and AVA methodologies. This does not encompass the validation of the different pieces that are used in the AVA calculation such as Day One Profit and Fair Value, but concerns the AVA methodology and its implementation. As part of the reviews, the unit has responsibility to certify correct PVA methodology and calibration implementation.. The performed independent reviews constitute inputs for the final approval decisions concerning the proposed methodologies or methodology changes. There are committees in place to take these approval decisions. The unit is responsible also for ex post reviews of the methodologies.

The position is about performing prudent value methodology reviews.

Depending on the level of the position, the candidate is expected to be a specialist, expert who is able to perform the required qualitative and quantitative reviews on his/her own, as well as, who is potentially able to guide and manage team members assigned to the review projects.

The candidate shall have sufficient technical expertise to fulfil these requirements and shall have an audit mind-set, furthermore, skills to review methodologies that are regulation-driven. The candidate for a senior position is expected to have experience in regulatory affairs.


Professional Qualifications / Candidate Profile
Must have hard skills:

·         Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.

·         The position is open for various levels of experience. The seniority of the position depends on the level of experience in developing or validating financial models related to Capital Markets either on the Front Office side or on the Risk side.

·         In-depth knowledge of Capital Markets: how the markets operate, what the products are, what the main risk drivers are, how the financial instruments and derivatives are revalued, and what the shortcomings of the industry standards are.

·         Familiarity with prudent valuation techniques and regulatory requirements.

·         Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.

Must have soft skills:

·         Ability to challenge the proposed methodologies and to provide alternative solutions.

·         Validation skills to valorise new ideas, both supportive and critical, and to examine problems from several different points of view.

·         Specific audit mind-set and skills to review methodologies that are regulation-driven.

·         Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources.

·         Eagerness to take ownership of projects and be autonomous in finding out the next steps.

·         Capacity to master the methodologies in the perimeter in order to know when, where and how to interact.

·         Good communication skills in English to convey clearly his/her ideas in front of various audiences, and concise writing skills.

Nice to have hard and soft skills:

·         Experience with model validation techniques and processes.

·         Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.

·         Advanced object oriented programming skills in C++ / C#.

·         Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.

II       What we offer

We offer the opportunity to work in a dynamic environment where the candidate can learn about and work with cutting edge pricing and risk methodologies. The position allows having a global view on the corporate and institutional banking activity of one of the market leading top tier investment banks. There will always be opportunities to stand out and build an enviable reputation within a business of this size and the candidate will enjoy the benefits of working in an extremely focused and highly professional team with a reputation for delivering excellence.

Primary Location: GB-ENG-London Job Type: Standard / Permanent Job: RISKS Education Level: Bachelor Degree or equivalent (>= 3 years) Schedule: Full-time