Model Validation Quant - RISK TEAM
BNP Paribas
Madrid, MD, ES
hace 3 días

r : ESP000059)

D EPARTMENT O VERVIEW

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

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

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

RISK is a global, integrated, and independentfunction.

RISK’s main missions :

  • Advise the Bank Management on the definitionof risk policy;
  • Contribute as a second pair of eyes toensure that risks taken by the Bank are aligned with its policies;
  • Report and alert Bank Management on the status of risks to which theBank is exposed.
  • RISK is a deconcentrated organisation covering all the Business Linesand encompassing the whole chain of risk-taking.

    A risk framework is adapted to each Business Line covering at least thefollowing 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 andstress-testing
  • Reporting and monitoring
  • Risk independent review & control
  • Counterparty &transaction analysis
  • II JOB DESCRIPTION

    Market, counterparty andvaluation risk methodologies are developed for both regulatory and internalrisk management purposes.

    The European Regulation called CRR allowscomputing market risk own funds requirements by the Internal Model Approach(IMA), and counterparty risk own funds requirements by the Internal ModelMethod (IMM) and the Advanced CVA method (A-CVA).

    As part of the IMA, the BNP Paribas Grouphas developed Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC)and Comprehensive Risk Measure (CRM) metrics for market risk own fundsrequirements computations at Group portfolio and subsidiary entity levels, andthe bank works also on developing new market risk methodologies to comply withthe forthcoming Fundamental Review of the Trading Book (FRTB) regulation.

    The global VaR andStressed VaR metrics have been realigned to measure also general market risk atthe level of the BNP Paribas Intermediary Holding Company (IHC) according tothe US Market Risk Rule.

    As part of the IMM and A-CVA, the Grouphas developed Effective Expected Positive Exposure (EEPE) and CVA CapitalCharge measures for various OTC, listed derivatives, prime brokerage and repotrading activities, furthermore, the bank is implementing also the newStandardised Approach for Counterparty Credit Risk (SA-CCR) metric.

    The CRR requires also the prudentvaluation of all instruments that are fair valued for accounting purposes. Theobjective of the CRR is to ensure that the valuation of assets used forregulatory purposes is not higher than the true realisable value and,henceforth, the CRR imposes the computation of an Additional ValuationAdjustment (AVA) to be deducted from own funds.

    Besides the prudential capital requirementmeasures, the Volcker Rule, the French Banking Law and ICAAP require marketrisk metrics also for assessing hedge effectiveness, for limit setting and forexposure management.

    Furthermore, in most of the jurisdictionsrules have been set requiring the modelling of initial margin for non-centrallycleared derivatives.

    Our Group has developed also various kinds of marginingmodels.

    Finally, various market and counterpartyrisk metrics, including amongst other the Potential Future Exposure (PFE)measures, have been developed at BNP Paribas and its subsidiary enities forinternal market and counterparty risk management.

    Sound model risk management practicesrequire that these market, counterparty and valuation risk metrics, and any newdevelopments, are subject to initial and periodic independent reviews.

    Depending on the rules in the various jurisdictions and depending on theinternal model risk ratings, these models are subject to various levels andfrequency of model reassessment, and also model changes are often subject toindependent reviews.

    The position in subject is about performing independent reviews ofmarket, counterparty and valuation risk methodologies, and to advise managementabout the level of model risk born by using these methodologies.

    This is a wide range of activities. Therefore, the precise scope of thereview activity of the person will depend on the exact skills and experience ofthe candidate.

    These review and model risk assessment activities are fulfilled today byRISK Independent Review (RISK IR) team members who are located in Paris,Brussels, London and New York.

    The new colleague would join this internationalRISK IR team and work together with them, as well as with other BNP Paribascolleagues outside RISK IR who developed, implemented, operate and use themethodologies in scope.

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

    The candidate shall have sufficient technical expertise to fulfil theserequirements and shall have an audit mind-set, furthermore, skills to reviewmethodologies that are often regulation-driven.

    The candidate for a seniorposition is expected to have experience in regulatory affairs.

    III PROFESSIONAL QUALIFICATIONS / CANDIDATE PROFILE

    Must have hard skills :

  • Strong quantitative background, owning an MScor PhD degree in a quantitative subject, preferably a degree in financialmathematics.
  • The position is open for various levels ofexperience. The seniority of the position depends on the level of experience indeveloping or validating financial models related to Capital Markets either onthe Front Office side or on the Risk Management side.
  • A relevant workexperience of 4-6 years is expected for this position.

  • In-depth knowledge of Capital Markets : howthe markets operate, what the products are, what the main risk drivers are, howthe financial instruments and derivatives are revalued, and what theshortcomings of the industry standards are.
  • Familiarity with pricing models, market and / orcounterparty risk modelling techniques and regulatory requirements.
  • Strong understanding of stochastic processes and derivatives pricingtechniques, familiarity with several underlying asset price models and withvarious numerical techniques.
  • Must have soft skills :

    Ability tochallenge the proposed methodologies and to provide alternative solutions.

    Validation skillsto valorise new ideas, both supportive and critical, and to examine problemsfrom several different points of view.

    Specific auditmind-set and skills to review methodologies that are regulation-driven.

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

    Eagerness to takeownership of projects and be autonomous in finding out the next steps.

    Capacity to master themethodologies in the perimeter in order to know when, where and how tointeract.

    Good communicationskills in English to convey clearly his / her ideas in front of variousaudiences, and concise writing skills.

    Nice to have hard andsoft skills :

    Experience with modelvalidation techniques and processes.

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

    Advanced programmingskills in C++ / C# or other languages allowing fast assessment of modelfeatures and carrying out comparison of model alternatives.

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

    IV WHAT WE OFFER

    We offer the opportunity to work in adynamic international environment where the candidate can learn about and workwith cutting edge pricing and risk methodologies.

    The position allows having aglobal view on the corporate and institutional banking activity of one of themarket leading top tier investment banks.

    There will always be opportunities tostand out and build an enviable reputation within a business of this size andthe candidate will enjoy the benefits of working in an extremely focused andhighly professional team with a reputation for delivering excellence.

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