.GROUP BNP PARIBASBNP 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 13 business lines.RISK HUBRISK is an integrated and independent control function of the BNP Paribas Group.
It is the second line of defense 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.ABOUT THE JOBMISSION: Systems 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.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