Global Credit Model Design
hace 4 meses
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.
The hub is an international pool of talents gathering high-quality profiles and diverse skills to reach the excellence in terms of services provided. We may offer a wide range of services to RISK teams, from consulting to cyber security going through data analysis, modelling or artificial intelligence.
Our objective is to bring our expertise to optimize your process, enrich your daily activity and help you protect and serve the Bank.
Global Credit Model Design is a team of specialised risk officers with global accountability for CIB credit risk modelling within RISK, the bank’s independent function overseeing credit, counterparty, market, funding, liquidity and operational risks across all Group’s activities and geographies. Organisationally, it is embedded in the RISK Models & Regulatory group.
MISSION:
The team provides RISK and the General Management with key risk metrics for their decision making process, by developing Global Credit models and related methodologies to measure and monitor credit risk on CIB portfolios, working in close partnership with Credit Officers, Front Office and IT teams. Global Credit models estimate IRB credit risk parameters - PD, LGD and CCF - used for regulatory capital computation, risk management, also impacting risk pricing, stress testing and IFRS9 impairment.
RESPONSIBILITIES:
Your Main Activities Are
- Develop Global Credit Models and related quantitative methodologies used for the Bank’s rating systems and IRB credit risk parameters estimation - PD, LGD and CCF on CIB portfolios:
Contribute to the development of new methodologies, in accordance with the team’s priorities, under general guidance from the team’s senior members
Use best practices and knowledge of internal and external techniques to improve models and processes
Establish relationships with the front office, credit officers and other stakeholders, contribute to the cross-functional workshops and projects
Perform the required technical analysis related to the model development phase using specialised domain knowledge and developed technical expertise
Assess the related impacts on the Bank’s RWA and risk management framework
Ensure compliance with related regulatory obligations and internal modelling standards as well as consistency with existing methodologies
Prepare the related modelling documentation
- Contribute to the BAU tasks of the team including:
Methodology support for Credit Officers and Front Office
On-going improvement of existing tools and processes
Methodology research on ad-hoc initiatives beyond the team’s day-to-day projects
- Cooperate with internal and external auditors, facilitating the review process:
Respond to requests from the Risk Independent Review team, internal auditors and regulators during model reviews and missions
Perform related ad-hoc analysis and prepare the corresponding documentation
**REQUIREMENTS**:
Languages:
- English:Fluent
SKILLS:
Technical:
- A strong academic background with a Masters in a quantitative field (e.g. Statistics or Econometrics)
- Significant experience working on credit risk modelling projects, in an IRB or IFRS9 context
- Detailed knowledge of data processing and analysis using a variety of statistical techniques in SAS, Python or R
- Good working knowledge of SAS
- Good working knowledge of risk measurement and management concepts
- Good stakeholders management skills
- Excellent communication skills, both written and verbal
Trasversal & Behavioral:
- Attention to detail/rigor
- Ability to deliver/Results driven
- Analytical Ability
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 a
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