SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas.
The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group. The Risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. A well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.
Within ERA, SIGMA’s mission is to develop and continually improve the group’s risk modelling & measurement, analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by architects responsible for ensuring consistency across methodological research and development activities.
The team’s remit includes all the IMM models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space. In the context of market risk modelling, the incoming regulation surrounding the “Fundamental Review of the Trading Book” (FRTB) is becoming an increasingly important cornerstone for the team.
Roles and Responsibilities
- Working in close partnership with other risk teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA’s mission, taking responsibilities in some of the following areas:
- Participate methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes
- Investigate, analyse and design risk methods, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints
- Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment
- Ensure that all methodologies, tools, processes and procedures are documented to a high standard satisfying both internal and regulatory expectations, any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation
- Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process; cooperate with the risk model validation teams in the review and approval of risk models
- Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS)
- In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate
- Strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance
- English fluency
- Strong interest and familiarity with risk management best practises, financial markets and economic developments
- Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation) are also welcome
- Knowledge of derivatives, their risk drivers and the models used to price them; or exposure to at least one of the following asset classes: credit, repo, IR/FX, equity, commodities, preferably from a risk management perspective
- Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment
- Good understanding and awareness of the regulatory framework for banks is desirable
- Ability to work with tight deadlines and multidisciplinary teams
- Availability for training abroad
Job location: Lisbon, Portugal