BNP Paribas

DAILY WORK:

• Perform model validation, identify uncertainty factors, recommend remediation actions and monitor their implementation
• Development and implementation of models used for pricing and risk management
• Maintain transparent audit trails to all reporting and analysis, enabling managers to review work and satisfy audit requests
• The Model Risk Quantitative Analyst position covers the team members who have already gained sufficient model validation experience to be fully autonomous in carrying out model reviews and to coach entry-level team members for the execution of their reviews. Thanks to their experience, analysts can initiate and put through enhancements to the team’s operation. The analyst role includes also team members with more significant professional experiences as long as they work most of the time alone on their review projects autonomously. It is usually proposed that analysts gradually work on various topics to steepen the learning curve.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.

PROFILE: Required hard skills •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 key products are, what the main risk drivers are, and risk neutral valuation of the financial instruments and derivatives.•Familiarity with pricing models as well as with market and/or counterparty risk modelling techniques.•Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.•Advanced programming skills in Python / R / C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives.•Experience with model validation techniques and model risk management processes.Required soft skills •

YOUR TEAM: 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. These models cover all asset classes and all products, whether securities or derivatives.•On the counterparty risk side, the Group has developed Potential Future Exposure (PFE), Effective Expected Positive Exposure (EEPE) and CVA.