PROUD CREDIT INTERNAL MODELS PORTFOLIO STRATEGIST

April 1, 2024

PROUD CREDIT INTERNAL MODELS PORTFOLIO STRATEGIST

ReferenceBNP-001372

  • Standard / Permanent
  • ES-MD-Madrid
  • RISK
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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 12 business lines.

BNP Paribas is the leading bank in the European Union. BNP Paribas has a presence in 60+ countries, with close to 190,000 employees.

The Group supports all its customers – individuals, associations, entrepreneurs, (Medium and Large Corporates), institutions and Sovereigns – in the success of their projects through its financing, investment, savings and protection solutions.

BNP Paribas holds key positions in its three operating divisions:

• Commercial, Personal Banking & Services division brings together all of the Group’s retail activities and specialised business lines

• Investment & Protection Services includes specialised businesses offering a wide range of savings, investment and protection services

• Corporate & Institutional Banking division offers tailored financial solutions for corporate and institutional clients.

Our diversified and integrated model fosters close collaboration between our businesses that work towards a shared goal: to be at the service of our clients and the world we live in.

WHY SHOULD YOU CHOOSE BNP PARIBAS FOR THE NEXT STEP IN YOUR CAREER?

Because you want…

• Interesting assignments / New professional challenges. Careers at BNP Paribas are constantly evolving. That’s why we help you develop new skills through lifelong learning, regardless of your career so far.

• To join a solid Group with ambition. The BNP Paribas Group has an enviable reputation for stability and the excellence of our businesses. But for us, the future is about more than just performance; it’s about shared commitments.

• An attractive salary and benefits. We make sure that we pay you the fairest salary possible. But it’s not just the salary that counts: you’ll also enjoy many employee benefits and a healthy work-life balance.

MISSION:

YOUR TEAM

Your team belongs to BNP Paribas RISK Division (5 500+ employees in 50+ countries), recognized for its excellence among its peers. RISK is an integrated and independent function, it covers all the risks of the Bank (credit, market, liquidity, operational, ESG risks).

RISK is part of the control functions but is also a partner for Business Lines and helps them sustainably growing.

Inside RISK, RISK Models & Regulatory (100+ teammates) designs “internal” models (used for both risk management and capital requirements measurements) and ensures their performance over time, while playing a watch tower role regarding regulatory changes.

Inside RISK Models & Regulatory (15 teammates), the Models Portfolio Management team (‘MOMA’) plays a key role as it facilitates Top Management decision regarding the Modelling

Trajectory

• analyses the cost-benefit equilibrium of IRBA approaches use. This analysis is supported by a regular IRBA model inventory, augmented by the most meaningful/innovative indicators, including simulations.

• constructs mid-term model-related trajectory of capital requirements, monitors the impacts for all entities of the Bank and ensures consistence in visions with Finance and

Strategy Function

• when necessary, MOMA designs and maintains its own simulation tools.

• also incubates or directly coordinates strategic programs to convert Regulation changes/challenges in transformation opportunities. For example, lately, MOMA has designed two very large transformation programmes to prepare the Bank to CRR3 (“Basel 4”) or align the model portfolio to Regulatory Guidelines (“IRB Repair”). These programmes are both pluriannual both mobilise 100+ people in different divisions

• ensures that new models are swiftly and efficiently inserted in credit risk processes

It gives you a lot of visibility and responsibilities.

RESPONSIBILITIES:

In your day to day, you will contribute to the monitoring and control of the regulatory approach used for capital requirements calculation (ie Internal Rating Based Approaches –‘IRBA’ vs Standardized Approaches), with potential impacts on the 5-year modelling roadmap.

The usage of IRBA vs Standardized Approaches for capital calculation is subject to ECB decisions and should indeed be justified at all times. In case of breach of the conditions described in the Bank’s Policy, the regulatory approach may change: from IRBA to less sophisticated approaches, from Standardised approaches to IRBA, etc. In the latter case, the development of a new IRBA model

Is necessary, managed on a project mode and coordinated by your team.

This framework for decision-making should be sent to ECB by June 2025 via an application package.

This application is prepared by the PROUD project to which you will contribute.

In your position, you will:

• Cartography the credit risk exposures of the Bank and their regulatory treatment

• Animate the yearly process of regulatory treatment assignment with Business Lines CFO/CROs

• Control the alignment of the treatment with the Bank’s Policy

• Investigate potential anomalies with Business Lines

• Adjust the 5-year modelling roadmap when necessary and get a validation from Capital Committee

• Communicate the 5-year modelling roadmap to ECB

• Annually check/update the IRBA vs Less sophisticated approaches Policy

REQUIREMENTS:

Training:

Graduated from at least a master’s degree with a specialisation in finance, risk, data science, statistics or economics

Experience:

Data Processing – with Excel/SAS/Python (Expert)

Data Visualization – with Excel/Python/R/Power BI/Tableau (Expert)

Credit risk modelling (Proficient)

Capital Requirement related Regulatory environment (Proficient)

Relationship management with Supervisors (Proficient)

Languages:

 •  English:Fluent

 •  French:Optional

SKILLS:

Technical:

Ability to create relevant indicators and to inspire others & generate people’s commitment (Proficient)

Analytical Ability (Proficient)

Ability to manage/facilitate a meeting, committee … (Proficient)

Ability to explain technical topics in simple terms (Proficient)

Ability to develop and adapt a process (Proficient)

Trasversal & Behavioral:

 •  Client focused

 •  Organizational skills

 •  Proactivity

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.”