Global Credit Model Design Model Performance – TRANSFORMATION

MODEL PERFORMANCE TRANSFORMATION ANALYST

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.

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.

You will join the “Model Performance – Transformation” team, which is part of RISK Models & Regulatory – Global Credit teams on the RISK Models & Regulatory department.

RISK Models & Regulatory – Global Credit Within the “RISK Models & Regulatory” Department of BNP Paribas’ RISK department, the “Global Credit” team is composed of four teams:

• Model Management: establishes a comprehensive management of the portfolio of models through mid-term planning, industrialization, and cost / opportunity analyses
• Model Design: develops and maintains risk models for the main risk parameters (e.g., PD, LGD, EAD), in close cooperation with other Business and RISK teams
• Model Performance: Intervene after model implementation to assess the performance of the credit risk models and ensure the right understanding of risk parameters evolution and rating assignment process for business, RISK internal client and regulatory purposes
• Regulatory watch & policies: interpret, anticipate the effects & advocate on internal models as part of future potential or upcoming regulations

Model Performance is divided into three sub-teams :

• Methods: Develops and maintains methods to tackle emerging topics and normative corpus complementary to modelling standards
• Transformation: Develops the industrialized model performance solution
• Analytics: Regularly carries out model’s performance assessment (including backtesting and sensitivity analysis)

The team has an international dimension, being located in Paris, Lisbon and Madrid, and counting more than 25 team members

MISSION

As part of the Model Performance – Transformation team, your main mission will consist in the development of industrialized and harmonized model performance and risk parameters statistical solutions to be used by all IRBA entities for the respective regulatory backtesting, and respecting the internal model performance guidelines. You will ensure change management and operational insertion of transversal solutions.

In addition, within Model Performance team switch between the three sub-teams is often proposed, you will then be able to explore the full landscape of the performance assessment at BNP Paribas. 

RESPONSIBILITIES

• Implement the evolutions of the internal Modeling and Model Performance methodological standards within mutualized solutions used by all IRBA Entities of the Group
• Challenge and help designing the internal methodological standards by sharing credit risk and statistical expertise
• Perform ad-hoc statistical studies to ensure the relevance of tests (Somers’ D, Equivalence Test, Kolmogorov-Smirnov)
• Assist entities on their understanding of the solution by writing documentation, organizing workshops and creating ludic contents such as videos
• Animate Model Performance Community and Support backtesters in their daily work
• Answer or help answering the ECB’s questions about Review of Estimates during Internal Models Investigation (IMI)
• Contribute to RISK transversal initiatives within Quant community

 In addition, within Model Performance team switch between the three sub-teams is often proposed, you will then be able to explore the full landscape of the performance assessment at BNP Paribas

REQUIREMENTS

• Master’s Degree in Mathematics, Physics, and/or Statistics
• Advanced level of English, both spoken and written
• At least 2 years of experience
• English: Fluent, mandatory
• French: Optional
• Spanish: Optional

SKILLS

• Data Viz, Blending and Analytics
• IT Programs Conception (SAS, SQL, Python and R)
• Ability to deliver/Results driven
• Ability to develop and adapt a process
• Critical thinking

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

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.