Credit Risk Quantitative Analyst – Models and Simulations

May 29, 2024

Credit Risk Quantitative Analyst – Models and Simulations

ReferenceBNP-001457

  • Standard / Permanent
  • ES-MD-Madrid
  • MISCELLANEOUS
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Credit Risk Quantitative Analyst – Models and Simulations

  • GROUP BNP PARIBAS                 

BNP Paribas is an international bank with leading positions in the European market. It is present in 74 countries and employs more than 192,000 people, 146,000 of whom are in Europe. The Group holds key positions in its three main areas of activity: Domestic Markets and International Financial Services (whose retail banking and financial services network is part of Retail Banking & Services), as well as Corporate & Institutional Banking, which offers services to corporate and institutional clients. The Group supports its customers (individuals, entrepreneurs, SMEs, large companies and institutions) to help them carrying out their projects by providing financing, investment, savings and insurance services.

In Europe, the Group has four domestic markets (Belgium, France, Italy and Luxembourg) and BNP Paribas Personal Finance is number one in retail financing in Europe.

BNP Paribas is developing its integrated retail banking model in the Mediterranean countries, Turkey, Eastern Europe and has an important network on the US West Coast. In both its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas has leading positions in Europe, a strong presence in the Americas and a solid and growing network in the Asia-Pacific region.        

  • Entity: Platform Risk                   

RISK is an integrated and independent control function of the BNP Paribas Group. It is the second line of defense on the risk management activities of the Group which are under its direct responsibilities, including credit and counterparty risk, market risk, funding and liquidity risk, interest rate and foreign exchange risks in the banking book, insurance risk, operational risk, and environmental and social risks.

RISK aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group’s Risk Appetite and its strategy.

RISK Iberian Hub Madrid is a transversal platform servicing the RISK Function by covering added-value activities around credit risk, market risk, operational risk and data protection. Offering a wide range of services to RISK teams, from consulting to cyber security going through data analysis, modelling or artificial intelligence. ”                                   

  • About the Role                            

–          MISSION:                                      

As senior Credit quantitative analyst you will contribute to modeling, simulations, calibration or performance analysis of models (probability of default, loss given default, forward-looking,etc) for the BNP Paribas Group RISK quantitative teams.

–          RESPONSIBILITIES:                                    

You will operate in immersion in your internal client environment on specific strategic projects or in the context of temporary peak of activity in the client business as usual.

Important diversity in the missions:

You will develop statistical methodologies, innovative and robust estimations, measure of conservatism, stability and performance or you will produce the simulations on credit risk.

You will also contribute to the integration of ESG risks (e.g. climate transition risk, fairness of the models) in the Group risk management framework.

You develop and test codes for methodology implementation in the internal systems and may be in relation with the users of the systems for training purpose for example.

You contribute to interactions with supervisors of the banking sector, participating to working groups, allowing the closure of regulatory recommendations or with the quantification od the impacts.

In the context of increasing needs in modeling and simulations in the risk management of the Bank, the RISK Quant Force (RQF) is a new team with a functional link to the heads of Group risk management modeling and simulations. The team is composed of quantitative experts and data scientists wich contribute to the quantitative activity of the BNP Paribas Group Risk management teams in the different entities.

You will integrate your internal client team during the mission while having benefit from interactions with the other experts in the RQF and integrating a community of 800 « Quant » in the risk management teams of the Group.

The RQF you will join is based in Madrid.                                        

–          REQUIREMENTS:                                       

Training

–          University degree in computer science, economics, mathematics, 

–          3 years of significant quantitative analysis experience in Credit risk                            

Experience:                                  

–          At least 2-year experience as data scientist in an agile, innovation-oriented team.

–          In particular, experience translating customer needs into data science solutions, experience developing models to address customer needs, experience deploying model into production and providing support and explanations to end-users.”                                    

Languages:                                   

–          ENGLISH: Fluent

–          FRENCH: Optional

–          SKILLS:                             

Technical:                                      

–          Good knowledge of the IFRS9 standard and CRR requirements.

–          Experience coding in Python, PySpark and in Data Management and Data Viz (SQL, Tableau, Dataiku), basic knowledge in SAS will be an advantage.”                                  

Transversal & Behavioral:                                       

–          Analytical Ability                         

–          Attention to detail/rigor                          

–          Adaptability                  

BENEFITS:                                     

–          Training programs, career plans and internal mobility opportunities, national and international thanks to our presence in different countries.

–          Diversity and Inclusion Committee that ensures an inclusive work environment. In recent years, several employee communities have been created to organize diversity and inclusion awareness actions (PRIDE, We Generations and MixCity).

–          Corporate volunteering program (1 Million Hours 2 Help) in which employees can dedicate time out of their working hours to volunteer activities.

–          Flexible compensation plan

–          Hybrid telecommuting model (50%)

–          31 vacation days”                                     

Diversity and Inclusion commitment                                

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.             

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