Model Portifolio Manager

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.

Your team belongs to BNP Paribas RISK Function (5 500+ employees in 50+ countries), recognized for its excellence among its peers. RISK is an integrated and independent function, it covers all the risks of the Bank (credit, market, liquidity, operational, ESG risks). RISK is part of the control functions but is also a partner for Business Lines and helps them sustainably growing.

About the team

Within RISK, the RISK Models & Regulatory designs “internal” models (used for both risk management and capital requirements measurements) and ensures their performance over time, while playing a watch tower role regarding regulatory changes.

Inside RISK Models & Regulatory, the Models Portfolio Management team (‘MOMA’) plays a key role as it facilitates Top Management decision regarding the Modelling Trajectory:
Analyses the cost-benefit equilibrium of IRBA approaches use. This analysis is supported by a regular IRBA model inventory, augmented by the most meaningful/innovative indicators, including simulations.

Constructs mid-term model-related trajectory of capital requirements, monitors the impacts for all entities of the Bank and ensures consistence in visions with Finance and Strategy Function

When necessary, MOMA designs and maintains its own simulation tools.

Also incubates or directly coordinates strategic programs to convert Regulation changes/challenges in transformation opportunities. For example, lately, MOMA has designed two very large transformation programmes to prepare the Bank to CRR3 (“Basel 4”) or align the model portfolio to Regulatory Guidelines (“IRB Repair”). These programmes are both pluriannual both mobilise 100+ people in different divisions

Ensures that new models are swiftly and efficiently inserted in credit risk processes

It gives you a lot of visibility and responsibilities.

About the job

You like statistical, econometric, and probabilistic models, and you would like to contribute to the prediction of the risks taken by the bank? You are interested in credit risk models?

As a Model Portfolio Manager, you will join a dynamic ecosystem of more than 100 teammates responsible for the design and performance over time of the credit risk internal models (PD, LGD, LGDD & EAD) of the Group while playing a watch tower role regarding regulatory changes.

Inside this ecosystem, you will be part of the Models Portfolio Management team (15 teammates) responsible for the design and implementation of the 5-year modelling roadmap validated by the Top Management of the bank.

Concretely you will be asked to:
Animate the community of credit risk modelers across the bank

Facilitate exchanges of views and sharing of good practices across various modelling entities of the banks

Frame and coordinate multi-entities model developments in close collaboration with entities Heads of Modelling

Coordinate remediation actions common to several entities to ensure consistency in the approach (be it in the context of supervisory findings and obligations or LoD2 findings remediation)

Act as a watch tower ensuring modelling choices are harmonized and consistent across the Group and comply with Group Credit risk Modelling Standards

Contribute to the yearly ECB Stocktake exercise listing all material model changes / extensions in the pipe and recommend a prioritization to the Senior Management based on pros/cons analysis

Profile and Skills to Success

Master’s Degree with a specialization in finance, risk, data science, statistics, or economics

At least 5 years of relevant experience

Deep knowledge of the banking regulation, especially on credit risk

First solid experience in project management

Fluent in English, both written and oral are mandatory

Strong ability to federate

Assertiveness / Ability to argue methodological positions

Strong analytical skills

Attention to detail / rigor

Adaptability / Autonomy

Team player