I.
Department Overview In many respects, banking is the business of managing risks.
At BNP Paribas, our well-developed risk management culture is based on a long-term perspective, a committed management, and a strong and independent risk organisation led by RISK.
Created at the same time as BNP Paribas, RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.
RISK is an integrated and independent function and is part of BNP Paribas's control functions.
It is the independent second line of defence 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 teams engage in an upstream dialogue with businesses to better understand their strategy, objectives and then they express their opinions and recommendations.
II.
Job Description 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.
We currently look for a Model Risk Manager .
This position covers the team members who, covering a wider range of models and projects, define the review and analyses to be performed and delegate specific analysis to analyst team members, supervising and structuring their work during the review, articulating the executive summary of the review and presenting the final deliverables to the stakeholders.
Furthermore, the Model Risk Managers are empowered to coordinate the contribution of the team to various Group level projects and represent the team within those projects.
Accordingly, besides carrying out review works, part of the time of Model Risk Managers is spent on committee meetings presenting either the review findings or contributing to the steering of various Group level projects.
Their stakeholders may be within RISK, within the Business, or within other Group functions.
III.1 Model Risk Manager Required hard skills - Proven professional experience in alignment with the responsibilities.
- In-depth 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.
- 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 in C++ / C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives.
Required soft skills - Ability to engage people for leading them.
- Ability to delegate some tasks to increase efficiency and to focus on higher value work.
- Capacity to master the methodologies in the perimeter in order to know when, where and how to interact.
Eagerness to take ownership of projects and be autonomous in finding solutions.
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