Global Credit Model Performance – Methods

Employment contract:

Standard / Permanent


Madrid, Community of Madrid, Spain





BNP 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 12 business lines.

RISK 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.  

RISK Iberian Hub Madrid is a transversal platform servicing the RISK Function by covering added-value activities around credit risk, market risk, operational risk and data protection. Offering a wide range of services to RISK teams, from consulting to cyber security going through data analysis, modelling or artificial intelligence. 

You will join the “Model Performance – Methods” team, which is part of RISK Models & Regulatory – Global Credit teams on the RISK Models & Regulatory department. 

RISK Models & Regulatory – Global Credit Within the “RISK Models & Regulatory” Department of BNP Paribas’ RISK department, the “Global Credit” team is composed of four teams:

  • Model Management: establishes a comprehensive management of the portfolio of models through mid-term planning, industrialization, and cost / opportunity analyses.
  • Model Design: develops and maintains risk models for the main risk parameters (e.g., PD, LGD, EAD), in close cooperation with other Business and RISK teams.
  • Model Performance: Intervene after model implementation to assess the performance of the credit risk models and ensure the right understanding of risk parameters evolution and rating assignment process for business, RISK internal client and regulatory purposes.
  • Regulatory watch & policies: interpret, anticipate the effects & advocate on internal models as part of future potential or upcoming regulations

Model Performance is divided into three sub-teams : 

  • Methods: Develops and maintains methods to tackle emerging topics and normative corpus complementary to modelling standards
  • Transformation: Develops the industrialized model performance solution
  • Analytics: Regularly carries out model’s performance assessment (including backtesting and sensitivity analysis)

The team has an international dimension, being located in Paris, Lisbon and Madrid, and counting more than 25 team members. 



As part of the Model Performance – Methods team, your main mission will consist in producing risk models performance analysis for important securitization initiatives, helping investors to have a better understanding of the BNPP risk profile and model landscape. You will be fully involved in the due-diligence process where investors are requesting tailor made analysis. 


In addition, you will be involved in the other activities of the Methods team: 

  • The definition of performance assessment methodology in coordination with the internal standards team
  • The design of climate risk backtesting methodology to assess the impact of physical and transition risks on the model performance
  • The production of specific internal reportings related to model performance (ECAF, NDoD, …)


In addition, within Model Performance team switch between the three sub-teams is often proposed, you will then be able to explore the full landscape of the performance assessment at BNP Paribas.




  • Master’s Degree in Mathematics and/or Statistics
  • Advanced level of English, both oral and written


  • At least 2 years of experience


  •  English: Fluent will be mandatory. All the recruitment process and communications will be in English
  •  French: Optional
  •  Spanish: Optional



  • Data Viz, Blending and Analytics
  • IT Programs Conception (SAS, SQL, Python and R)

Trasversal & Behavioral:

  •  Ability to deliver/Results driven
  •  Ability to develop and adapt a process
  •  Critical thinking


  • Training programs, career plans and internal mobility opportunities, national and international thanks to our presence in different countries.
  • Diversity and Inclusion Committee that ensures an inclusive work environment. In recent years, several employee communities have been created to organize diversity and inclusion awareness actions (PRIDE, We Generations and MixCity).
  • Corporate volunteering program (1 Million Hours 2 Help) in which employees can dedicate time out of their working hours to volunteer activities.
  • Flexible compensation plan 
  • Hybrid telecommuting model (50%)
  • 31 vacation days


BNP Paribas Group in Spain is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.