London-2019 Graduate Analyst Programme-Market and Counterparty Risk Modelling-BNP Paribas

London – 2019 Graduate Analyst Programme – Market and Counterparty Risk Modelling


Europe

UK

London

Risk

Other

BNP Paribas Corporate & Institutional Banking (CIB) is a leading European investment bank with global leadership in many of our businesses. We are part of the BNP Paribas Group, a financial institution with solid foundations and a proven ability to adapt to change. If you are thinking about a career in investment banking, there is no better place to begin your journey than with BNP Paribas CIB. With nearly 20,000 employees in over 50 countries, we can offer you an exciting start to your career.

Our focus on Graduate Development offers first class training and support for bright and ambitious individuals. You will begin with induction training before moving into a real, full-time role in one of a number of business areas. This is one of the fundamental differences between our programme and others – you start a real job from the beginning; taking on responsibility and accelerating your career. You will have access to a wide range of development opportunities and will receive on-the- job coaching and support from your colleagues.

DEPARTMENT OVERVIEW

SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas.

The team sits within Enterprise Risk Architecture (ERA), 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 ERA, 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), supported by architects responsible for ensuring consistency across methodological research and development activities.

The team’s remit includes all the 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. In the context of market risk modelling, the incoming regulation surrounding the “Fundamental Review of the Trading Book” (FRTB) is becoming an increasingly important cornerstone for the team.

ROLE RESPONSIBILITIES

The successful graduate candidate will contribute to SIGMA’s mission by taking responsibility for the following:

 

  • Work with other SIGMA team members to design risk methods respecting the aims of accurately capturing risks whilst considering system or other constraints (in co-operation with the Risk Systems team);
  • Design, develop and test code changes required to implement the risk methods in the risk systems;
  • Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process;
  • Co-operate with the risk model validation teams in the review and approval of risk models.

 

Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the methodological research and design in a given asset class (to be defined based on candidate’s experience and team requirements).

 

ROLE COMPETENCIES

To be successful in this role, the candidate should meet the following requirements:

 

  • A strong academic background, with a minimum of a Masters in Mathematics, Physics, Quantitative Finance or Engineering (or the equivalent);
  • A strong theoretical knowledge of stochastic processes and derivative products;
  • Strong Programming Skills (C++, C#, R or Python)
  • A strong interest in risk management, financial derivatives and financial markets;
  • Strong written and verbal communication skills
  • Diligence and attention to detail

 

Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred. 

Salary: Competitive

Closing Date: 26th October 2018

 

 

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