Senior Quantitative Analyst – Market and Counterparty Risk Model Validation

BNP Paribas Group is the top bank in the European Union and a major international banking establishment. It has close to 185,000 employees in 65 countries. In Spain we are more than 5,100 employees within 13 business lines.

 

 

 

 

RISK Independent Review & Control (RISK IRC) is a special unit within the RISK organisation and reports directly to the Group CRO. The independent review arm of the department provides second line of defence for the use of various types of models and, accordingly, is in charge of model risk management. 

The position in subject is within the team that covers market risk, counterparty risk and valuation risk methodologies. These methodologies are developed and used globally for both regulatory and internal risk management purposes, covering all activities of the Group. These methodologies cover amongst others:

·      Market risk internal models like Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM) metrics, as well as the new market risk methodologies that are developed to comply with the forthcoming Fundamental Review of the Trading Book (FRTB) regulation. These models cover all asset classes and all products, whether securities or derivatives, including also the market risk management of CVA and funding value adjustment.

·      On the counterparty risk side, the Group has developed Potential Future Exposure (PFE), Effective Expected Positive Exposure (EEPE) and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities. The bank has implemented also the new Standardised Approach for Counterparty Credit Risk (SA-CCR) metric. Furthermore, the Group has developed and uses various types of margining methodologies, like the standard initial margin model (SIMM) used for non-centrally cleared derivatives.

·      On the valuation risk front, various methodologies are used for fair value and prudent value adjustments. These valuation risk methodologies cover amongst others measures for market price uncertainty, for close-out costs, for model risk, for concentrated positions and for future administrative costs.

Sound model risk management practices require that these market risk, counterparty risk and valuation risk metrics, and any new developments, are subject to various types and levels of independent reviews, assessing the conceptual soundness, the proper application and the limitations of these methodologies. The vision of the team is to use the mean of proactive model risk management in order to enable better decisions where decisions rely on model outputs. We have built a franchise of model risk management services advising senior management, supervisory authorities, as well as serving internal clients requiring model risk assessments for existing or new models.

The position in subject is about the model risk management of the abovementioned types of methodologies, performing independent reviews, assessing model limitations, and advising the stakeholders about the level of model risk born by the use of these methodologies. There is a wide range of activities covered by the team. Therefore, the precise scope of the review activity to be covered by the new team member will depend on the exact skills and experience of the candidate, as well as on the personal development plan that will be set for the team member. There is a key focus in the team on personal development. The team members are currently based in Paris, London, New York, Brussels, Madrid, Montreal and Bucharest. Although they are spread across the globe, they all work as a one team. Roles and responsibilities within the team are location agnostic.

The position covers the team members who, under the supervision and guidance of Managers, will perform the review and analyses and present the results. Thanks to their experience, analysts can initiate and put through enhancements to the team’s operation. Model Risk Quantitative Analysts work mostly on independent reviews interacting with the validation managers and with the auditees. The latter usually includes model developers, teams operating the models, and model users. Those stakeholders may be within RISK, within the Business, or within other Group functions.

 

 

 

Hard skills

•             5 to 15 years of experience

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

•             This position requires proven professional experience in alignment with the responsibilities.

•             Advanced knowledge of capital markets: how the markets operate, what the liquidity and price observability of the key products are, what the trading venues are, and what the various netting and collateral agreements are.

•             Familiarity with many pricing models as well as with market and counterparty risk modelling techniques.

•             Strong understanding of stochastic processes and derivatives pricing

•             Good understanding of the regulatory requirements for the scope of models being in charge of.

•             In-depth knowledge of model risk management processes, regulatory requirements, internal policies, standards and templates.

•             Advanced programming skills (C++ / C#, R, Python, Matlab, etc) allowing fast assessment of model features and carrying out comparison of model alternatives.·     

•             Experience with model validation techniques and model risk management processes.

Soft skills

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

•             Being at ease with building relationships with people outside of the immediate team and seeking to understand diverse perspectives

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

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

•             Ability to persuade and influence stakeholders

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

•             Genuine sense of care and respect for people, acting as a team player and proactively supporting colleagues.

BNP Paribas Group in Spain is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.