Senior Quantitative 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 and RESPONSIBILITIES

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.
- 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.

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.

REQUIREMENTS

Hard skills
- 5 to 15 years of experience
- 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 (C++ / C#, 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.

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