About the job
- The mission of
the RISK Quantitative Research Analyst is to develop and continually
improve the group’s risk modelling & measurement, analysis and back-testing
capabilities, on market and counterparty risks - SIGMA
is the quantitative modelling team with overall responsibility for market,
liquidity and counterparty credit risk methods within BNP Paribas - The
team sits within Global Framework (GF), which is part of the Risk Function of
the group. The Risk Function is globally accountable for the definition of official
risk policies, guidelines and procedures, as well as the quantification and
monitoring of risks taken by the various business lines, to ensure alignment
with risk appetite and policies. At BNP Paribas, a well-developed risk
management culture is based on a long-term vision, a committed management, and
a strong and independent organisation - Within
GF, SIGMA’s mission is to develop and continually improve the group’s risk
modelling & measurement analysis and back-testing capabilities. SIGMA is
organised in four 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 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
Your Main
Activities Are
- Participate
in methodology projects, gathering and documenting requirements - Investigate,
analyse and design risk methods, respecting the aims of accurately capturing
risks - Design,
develop and test code changes required to implement the risk methods in the
risk systems - Ensure
that all methodologies, tools, processes and procedures are documented - Contribute
to the quality assurance processes surrounding risk measurement including
back-testing and the VaR Adequacy (P&L Explain) - Support
regulatory interactions, participating in industry working groups and
Quantitative Impact Studies (QIS) - In a
transactional or advisory capacity, assist risk managers and Front Office in
the prompt, accurate and astute risk assessment of deals - Ensure
a robust permanent control framework to deliver in a timely manner, reliable
and consistent backtesting
Profile and
Skills to Success
- Masters
Degree in Mathematics / Physics / Quantitative Finance or related - Advanced
level of English, both written and oral - Knowledge
in - Market
Risk and/or Counterparty Risk Modelling capacity - Derivatives:
their Risk drivers and the models used to price them - At
least one of the following: Credit / Repo / IR/FX / Equity / Commodities - Design
and Implementation of Quantitative Models (preferably using C# and/or C++) - Attention
to detail / rigor - Ability
to collaborate / teamwork - Analytical
ability - Communication
skills, both written and oral - Organisational
skills
#LI-Hybrid
Why joining BNP Paribas?
· Leading banking institution
BNP Paribas is the European Union’s leading bank, and key player in
international banking. It operates in 63 countries and has nearly 183.000
employees, including more than 146.000 in Europe.
· Our presence in Portugal
In Portugal since 1985, BNP Paribas today has more than 8.700 employees,
distributed across the Group’s 10 business entities established in the country.
Its presence also extends to 11 excellence centres providing value-added
services to various countries where the BNP Paribas Group also operates.
· International reach
Thanks to its
international presence and regular and close collaboration among its different
entities, BNP Paribas has the resources to support all clients with financing,
investment, savings and protection solutions that help make their projects a
success. BNP Paribas holds key positions in its three core operating divisions:
- Retail
Banking, a division that brings together all of the Group’s
retail activities and specialised business lines; - Investment
& Protection Services that include specialised businesses offering a wide
range of savings, investment and protection services; - Corporate
& Institutional Banking division that offers tailored
financial solutions for corporate and institutional clients.
· Diversity and Inclusion commitment
BNP Paribas 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.
· Commitment towards work/life balance
At BNP Paribas
we care about our employees wellbeing and promote a culture of good integration
between work and rest. We believe our employees have rich personal lives
outside of work, being fundamental to be disconnected from work to recharge
both physically and mentally. Only through this balance we may all be at our
best while working.
· Remote Working Conditions
At BNP Paribas,
we embrace a Smart Working framework based on trust, autonomy and
collaboration. Within this framework, eligible employees can benefit from
flexible remote working modalities adapted to our hybrid working environment.
To guarantee a comfortable and efficient working set-up, eligible employees are
provided with both the office and home equipment, are entitled to an equipment
allowance and can benefit from exclusive partnerships to purchase additional
equipment at reduced prices.
To find out more
on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal
*
Please note that only applications submitted in English will be considered.
*
In case you are selected for this role, further documentation will be requested
to support your hiring process.