About the job
The position is in the Valuation Adjustments team within RISK Market & Financial Institutions (“RISK MFI”).RISK MFI provides the Senior Management of the Group, of the RISK Function and of Corporate & Institutional Banking (“CIB”) with full transparency and dynamic analysis and monitoring of market, counterparty, liquidity risks originated and managed by CIB GM and of credit risks on Financial Institutions in order to assist them in their risk decision making and monitoring. The Valuation Adjustments stream is responsible for the valuation adjustments methodologies on Fair and Prudent value (reserves, methodology corrections and independent price verification) from their design, maintenance, implementation, regular calibration, analysis, monitoring and reporting.
Your Main Activities Are
Contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation
Assess the impact of internally or externally driven updates to the methodology set and circulate clear communication to the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit...) before release
Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information
Develop and improve a critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set
Ensure the computation and reporting of monthly & quarterly VAs for his scope
Analyse the monthly variations of VAs stocks and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines (Credit, Rates & FX, Equities, Commodities)
Profile and Skills to Success
Ability to produce relevant documents with accurate, precise, and verified information
Ability to gather, prioritise and integrate large amounts of information, to process and simplify it
Able to identify solutions to overcome obstacles and drive results to conclusion working autonomously and implementing work processes, ideas, and solutions with tenacity
Effectively deliver and adapt complex messages according to the targeted audience
Value and integrate client's feedback to improve products, services and processes
Master’s degree in Finance, Applied Mathematics, Science or Engineering. Advanced degree or professional certifications like FRM or CFA are a plus
Working experience in a relevant financial market and/or valuation methodology field is an advantage
On programming skills, a working knowledge of Python would be an advantage.
An understanding of Financial & Risk management concepts as well as derivatives products is recommended
Mobility is one of the core principles of BNP Paribas career and management strategy, which aims to meet our employees’ needs for personal development along with ensuring that the company meets the overall business needs. For further details, we invite you to explore the mobility principles available on https://bwelcome.hr.bnpparibas/internalmobility . Before applying, please make sure you discuss it with your manager whose support is critical for a smooth mobility process.
