Risk Bcef Model Design Junior Risk Modeling Analyst

**GROUP BNP PARIBAS**

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 13 business lines.

**RISK HUB**:
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 JOB**:
MISSION

Within the RISK Madrid Hub of CPBS (Commercial, Personal Banking & Services), you will join the RISK BCEF Model Design team. As the RISK Model Design Junior Quant, you will develop credit regulatory risk models for BCEF (PD, LGD, LGD in-default, EAD-CCF), in collaboration with the RISK BCEF Model Design teams in Paris, Bordeaux and Madrid, Business and IT teams of BCEF, and Group Risk teams (LoD1 and LoD2).

You will be working on various current credit risk and regulatory issues at the heart of banking within the largest entity of CPBS. You will gain a strong understanding of credit risk modelling. In general, you will develop expertise in credit risk management, banking regulation (CRR3, EBA Guidelines - LOM, NPE-FBE, etc.), and the data challenges within BCEF and RISK BCEF.

RESPONSIBILITIES

As a Risk Modeling specialist, you will develop new models or maintain existing ones to assess risk parameters for Retail and Corporate credit, with a first focus on new CCF models:

- You will coordinate contributions from RISK BCEF and BCEF on these projects.
- You will write documentation for these initiatives.
- You will actively participate in internal audits and supervisory reviews.
- You will analyze the results of backtesting exercises.
- You will engage in discussions with RISK CPBS and RISK Models & Regulatory teams.

**About the team**:
RISK is a global function within the BNP Paribas Group, with risk experts distributed across five continents. Its mission is to ensure the management of the Bank’s risks for General Management, in compliance with its policies, desired market ratings, and profitability objectives. Areas of intervention include credit risk - Corporate & Retail, market and counterparty risk, refinancing and liquidity risk, and operational risk.

You will join a new team composed of three people, including a Team Leader. You will functionally report to the Head of Model Design and the Head of Transversal Solutions team at BCEF, whose main responsibilities develop regulatory and granding credit models for the Business, Risk Management, BCEF Management, and General Management.

REQUIREMENTS
- Studies
- Master’s degree in Data Science, Statistics or Quantitative Finance
- Experience
- Professional experience: minimum an internship in Risk/Finance or Audit/Assurance services within banking sector
- Languages

Fluent communication in English (oral & written) - Speak French is a plus

SKILLS
- Technical
- Knowledge of credit risk concepts and prudential framework - Basel III and Standard and IRBA approaches
- Experience with SAS, Python and/or R
- Transversal & Behavioral
- Strong analytical and problem-solving skills
- Solid adaptation skills and positive team spirit
- Behavioral Skills: Autonomy, curiosity, proactivity, analytical and synthesis skills, team spirit. Your communication and organizational abilities will be key assets for success in this role
- Ability to work under tight deadlines
- Ability to adapt to changing environments

**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%).
- 32 vacation days.

**DIVERSITY AND INCLUSION COMMITMENT**: