The bank for a changing world

Quantitative Analyst – xVA

Contract

Standard / Permanent

Location

GB-ENG-London

Job function

FINANCIAL AND TECHNICAL EXPERTISE

Reference

QUA000020

BNP Paribas Overview

 

BNP Paribas has a presence in 75 countries with more than 185,000 employees, including 145,000 in Europe. It ranks highly in its two core activities: Retail Banking & Services and Corporate & Institutional Banking (CIB).

 

BNP Paribas Corporate & Institutional Bank is a leading European investment bank with global leadership in many of our businesses. With nearly 20,000 employees in over 45 countries, CIB can offer you an exciting and truly global career.

 

At BNP Paribas CIB, we work continuously on behalf of our clients, helping them to realise their projects around the world. You can be an important part of this, helping us to serve our clients both in mature and emerging markets, providing them with financial solutions across a diverse range of expertise, products and services. Our origins lie in Europe but nearly a quarter of our employees now work in our multi-award-winning Asia Pacific offices and we are a committed player in all markets.

 

Strong risk management, combined with the stability that comes from being part of one of the largest banking groups in the world, underpin our success. Joining us, you’ll become an integral part of a dynamic team that spans nationalities, cultures and backgrounds, drawing together people from around the globe and reflecting our commitment to international placements.

 

Department purpose / objectives:

 

Global Markets is BNP Paribas’ capital markets business within the Corporate & Institutional Bank (CIB), delivering solutions across asset classes, and industry-leading services for clients including Institutionals, corporates, private banks and retail distribution networks.

 

Global Markets encompasses seven global business lines; G10 Rates, Equity Derivatives, Forex & Local Markets, Commodity Derivatives, Credit, Prime Solutions & Financing and Primary Markets, helping their franchise of clients find effective ways to raise and invest capital as well as manage their exposure to risk.

 

Global Markets is made up of over 3,700 staff globally based in EMEA, the Americas and Asia Pacific, with the main trading floors located in London, Hong Kong, New York, Paris, Singapore and Tokyo.

 

Specific Responsibilities of Role:

 

Development and implementation of analytic tools to calculate the various XVA adjustments:

  • Cost of collateral, counterparty risk, cost of funding, cost of capital and bank’s resources management
  • Support XVA and R3 teams on pricing all XVA related requests
  • Develop risk management tools for the XVA and R3 teams
  • Develop tools for PS&F, TRS, Finance, relative to XVA, Leverage, margin calculation, collateral optimisation, balance sheet monitoring, and all other analytics relative to XVA, capital, or cost of financing securities or derivatives
  • Participate to the development of pricing models and tools for initial margin computation and its cost of funding
  • Participate to the joint development of the platform for regulatory /XVA/Financing side, and the Front office platform
  • Contribution to the development of the team analytics library
  • Contribution to the development of the global quantitative library used for valuations and risks of BNP Paribas Global Market Books
  • Design innovative and performant analytic approaches for XVA, Regulatory, and Financing computations
  • Help the bank adapt to new regulations and capital charges by providing tools to estimate their impacts.
  • Efficient and professional interaction with the various XVA, Regulatory, Financing stakeholders: CVA trading team, Treasury desk, XVA IT team, Risk, Finance, PS&F

 


Competencies, Technical skills and qualifications required for the role: 

Technical Skills

  • Strong programming skills with experience gained in a context of quantitative research (model implementation in a analytics pricing library). Programming skills in C#, C++, C languages.
  • Previous quantitative research experience and knowledge of financial modelling techniques
  • Knowledge of the XVA, Margin and Regulatory Platform platform (‘PAL’)
  • Knowledge of the front office platform (‘SORT’)
  • Strong communication skills (internal and external). Ability to interact in a professional way with other quantitative analysts, IT, trading and Risk departments and adapt to their different expectations.
  • Strong organization Skills / Ability to Multitask
  • Flexible and hands-on approach
  • Proactive in the promotion of new ideas

 

Personal skills

  • Effective communicator who can align people to the broader vision for the business whether they are directly managed or simply influenced by the individual in question. Specifically an ability to interact with IT, trading, sales, strategist.
  • Prioritize time/clients according to current strategic criteria
  • Beyond the products, sell the Bank
  • Maximize client facing time
  • Listen to the client and collect his/her feedback
  • Share relevant information with clients
  • Make realistic commitments
  • Be a solution provider
  • Innovation: Thinks laterally to identify other sources of useful information and sees ways around obstacles and barriers.
  • Diligence: Displays dedication & prioritises problems by considering the impact on the business; identifies quick-wins
  • Resilience:  Stays calm and positive, controls his/her emotions in conflict or any situation of intense stress (due to market, time or client pressure); Ability to undertake a number of  issues simultaneously is essential as well as the ability to work under considerable pressure
  • Passion, tenacity and resilience in an ever changing environment

 

Conduct

  • Be a role model, supporting and fostering a culture of good Conduct
  • Demonstrate proactivity, transparency, and accountability for identifying and managing conduct risks
  • Consider the implications of your actions on colleagues, partners and clients before making decisions, and escalate issues to your manager when unsure

Location: London

Salary: Competitive

End Date: 10th December