INTERNATIONAL RISK DEPARTMENT Counterparty Methodologies / Model Validation Quant
BNP Paribas
Madrid, MD, ES
hace 5 días

DEPARTMENT OVERVIEW

RISK is today a globalfunction present in five continents and at the forefront of risk management throughbest-in-class expertise.

We want to implementin Spain a new International Risk Hub covered a multitude of missions, whichwill serve to entire group :

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 risksto which the Bank is exposed.

Covering at least the following major risk types : Credit Risk, Market& Counterparty Risk, Liquidity Risk, Insurance Risk, Operational Risk, ModelRisk

Encompassing : Risk policy, analyticsand modelling, anticipation, stress-testing etc.

II. WHAT WE OFFER

We offer the opportunity to work in a dynamic environment learning aboutand work with cutting edge pricing and risk methodologies.

The position allowshaving a global view on the corporate and institutional banking activity of oneof the market leading top tier investment banks.

III. JOB DESCRIPTION

Counterparty risk methodologies are developed for both regulatory andinternal risk management purposes.

The European Regulation called CRR allows computingcounterparty risk own funds requirements by the Internal Model Method (IMM) andCVA risk own funds requirements by the Advanced method (A-

CVA). As part of theIMM and A-CVA, the BNP Paribas Group has developed Effective Expected PositiveExposure (EEPE), Value-

at-Risk on CVA (VaR on CVA) and Stressed Value-at-Riskon CVA (Stressed VaR on CVA) metrics for counterparty risk and CVA risk ownfunds requirements computations.

Besides the prudential capital requirement measures,the Bank has adapted the abovementioned regulatory measures to better reflectthe view of the Bank with regards to effective management of counterparty risk.

Accordingly, the BNP Paribas Group has developed various Potential FutureExposure (PFE) measures for limit setting and position monitoring.

The developed counterparty exposure models withdifferent configurations are used also Accounting CVA and other types of XVAcomputations.

The US Swap Margin Rule allows computing marginrequirements for non-centrally cleared derivatives using an internal model.

TheBNP Paribas Group has developed therefore SIMM jointly with other banks andimplemented this model internally for bilateral initial margining.

Finally, the BNP Paribas Group has implemented otherregulatory measures like MDDR for measuring settlement risk and also variouscounterparty risk metrics like Counterparty Liquidity Ranking (CoLoR) forinternal counterparty risk management.

The position is about performing counterparty risk methodology reviews.

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

The candidate for a senior position is expected to have experience inregulatory affairs.

IV. PROFESSIONAL QUALIFICATIONS / CANDIDATE PROFILE

Must have hard skills :

Strong quantitative background. MSc or PhD degree in aquantitative subject.

In-depth knowledge of Capital Markets : how the marketsoperate, products, what the main risk drivers are, revaluation of financialinstruments & derivatives, and what the shortcomings of the industrystandards are.

Familiarity with counterparty risk, CVA modellingtechniques & regulatory.

Strong understanding of stochastic processes andderivatives pricing techniques, familiarity with several underlying asset pricemodels and with various numerical techniques.

Must have soft skills :

Ability to challenge the proposed methodologies and toprovide alternative solutions.

Skills to valorize new ideas, both supportive andcritical, and to examine problems from several different points of view.

Specific audit mind-set and skills to reviewmethodologies.

Result orientation, managing the time efficientlyfocusing on the mission and providing the highest quality work.

Eagerness to take ownership of projects and beautonomous in finding out the next steps.

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

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

Strong curiosity of the field, proactively seekingopportunity of learning and progress, and staying up-to-date with the newestdevelopments in the field.

Advanced object oriented programming skillsin C++ / C#.

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

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