Risk HUB – Model Validation Quant

October 11, 2023

Risk HUB – Model Validation Quant


  • Estándar
  • ES-Comunidad de Madrid
  • RISK
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I        Department Overview

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

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

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

RISK is an integrated and independent function and is part of BNP Paribas’s control functions.

It is the independent second line of defence 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 teams engage in an upstream dialogue with businesses to better understand their strategy, objectives and then they express their opinions and recommendations.

II      Job Description


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, as well as the new market risk methodologies that are developed to comply with the forthcoming Fundamental Review of the Trading Book (FRTB) regulation. These models cover all asset classes and all products, whether securities or derivatives, including also the market risk management of CVA and funding value adjustment.

·      On the counterparty risk side, the Group has developed Potential Future Exposure (PFE), Effective Expected Positive Exposure (EEPE) and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities. The bank has implemented also the new Standardised Approach for Counterparty Credit Risk (SA-CCR) metric. Furthermore, the Group has developed and uses various types of margining methodologies, like the standard initial margin model (SIMM) used for non-centrally cleared derivatives.

·      On the valuation risk front, various methodologies are used for fair value and prudent value adjustments. These valuation risk methodologies cover amongst others measures for market price uncertainty, for close-out costs, for model risk, for concentrated positions and for future administrative costs.

Sound model risk management practices require that these market risk, counterparty risk and valuation risk metrics, and any new developments, are subject to various types and levels of independent reviews, assessing the conceptual soundness, the proper application and the limitations of these methodologies. The vision of the team is to use the mean of proactive model risk management in order to enable better decisions where decisions rely on model outputs. We have built a franchise of model risk management services advising senior management, supervisory authorities, as well as serving internal clients requiring model risk assessments for existing or new models.

The position in subject is about the model risk management of the abovementioned types of methodologies, performing independent reviews, assessing model limitations, and advising the stakeholders about the level of model risk born by the use of these methodologies. There is a wide range of activities covered by the team. Therefore, the precise scope of the review activity to be covered by the new team member will depend on the exact skills and experience of the candidate, as well as on the personal development plan that will be set for the team member. There is a key focus in the team on personal development. The team members are currently based in Paris, London, New York, Brussels, Madrid, Montreal and Bucharest. Although they are spread across the globe, they all work as a one team. Roles and responsibilities within the team are location agnostic.

The position covers the team members who, under the supervision and guidance of Managers, will perform the review and analyses and present the results. Thanks to their experience, analysts can initiate and put through enhancements to the team’s operation. 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.

III   Professional Qualifications / Candidate Profile

Required hard skills

  • 2 to 12 years of experience
  • 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 liquidity and price observability of the key products are, what the trading venues are, and what the various netting and collateral agreements are.
  • Familiarity with many pricing models as well as with market and counterparty risk modelling techniques.
  • Strong understanding of stochastic processes and derivatives pricing
  • Good understanding of the regulatory requirements for the scope of models being in charge of.
  • In-depth knowledge of model risk management processes, regulatory requirements, internal policies, standards and templates.
  • Advanced programming skills in C++ / C# or other languages (R, Python, Matlab, etc) 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

  • Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.
  • Being at ease with building relationships with people outside of the immediate team and seeking to understand diverse perspectives
  • Ability to challenge the proposed methodologies and to provide alternative solutions.
  • Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources
  • Ability to persuade and influence stakeholders
  • Eagerness to take ownership of projects and be autonomous in finding out the next steps.
  • Genuine sense of care and respect for people, acting as a team player and proactively supporting colleagues.

IV   What we offer

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

The position allows having a global view on the corporate and institutional banking activity of one of the market leading top tier investment banks. There will always be opportunities to stand out and build an enviable reputation within a business of this size and the candidate will enjoy the benefits of working in an extremely focused and highly professional team with a reputation for delivering excellence.

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. Therefore, on equal terms of qualifications and competencies for the position, the candidate of the underrepresented sex at that level shall have access to the position. We strive to reflect the society we live in, while keeping with the image of our clients. 

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