.GROUP BNP PARIBASBNP Paribas is a leading global bank and a prominent international banking institution, operating in numerous locations worldwide and offering multiple financial services, from retail banking to corporate and institutional banking (clients financing, advisory, capital market services).
The bank is head-quartered in Paris but has a significant presence in the EU and worldwide.Department OverviewSystems InteGrated Methods and Analytics (SIGMA) is a team of specialised risk officers with global accountability for the counterparty, market and liquidity risk methodologies within the Bank's RISK function.
It also maintains the internal model methodology for operational risk.Organisationally, it is embedded in the RISK Global Framework department and in particular its RISK Models & Regulatory group.SIGMA's mission is to develop and continually improve the group's risk modelling & measurement, analysis and backtesting capabilities .SIGMA is organised in streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), as well as a quantitative development / architecture stream.
The team's remit includes internal risk 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.Job Summary & ResponsibilitiesWorking 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 in 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 and models, 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, and that 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 backtesting and 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)