AVP - Risk Models & Regulatory

About BNP Paribas India Solutions :

Established in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP Paribas SA, European Union’s leading bank with an international reach. With delivery centers located in Bengaluru, Chennai and Mumbai, we are a 24x7 global delivery center. India Solutions services three business lines : Corporate and Institutional Banking, Investment Solutions and Retail Banking for BNP Paribas across the Group. Driving innovation and growth, we are harnessing the potential of over 10000 employees, to provide support and develop best-in-class solutions.

About BNP Paribas India Solutions :

Established in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP Paribas SA, European Union’s leading bank with an international reach. With delivery centers located in Bengaluru, Chennai and Mumbai, we are a 24x7 global delivery center. India Solutions services three business lines : Corporate and Institutional Banking, Investment Solutions and Retail Banking for BNP Paribas across the Group. Driving innovation and growth, we are harnessing the potential of over 10000 employees, to provide support and develop best-in-class solutions.

About BNP Paribas Group :

BNP Paribas is the European Union’s leading bank and key player in international banking. It operates in 65 countries and has nearly 185,000 employees, including more than 145,000 in Europe. The Group has key positions in its three main fields of activity : Commercial, Personal Banking & Services for the Group’s commercial & personal banking and several specialised businesses including BNP Paribas Personal Finance and Arval; Investment & Protection Services for savings, investment, and protection solutions; and Corporate & Institutional Banking, focused on corporate and institutional clients. Based on its strong diversified and integrated model, the Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporates and institutional clients) to realize their projects through solutions spanning financing, investment, savings and protection insurance. In Europe, BNP Paribas has four domestic markets : Belgium, France, Italy, and Luxembourg. The Group is rolling out its integrated commercial & personal banking model across several Mediterranean countries, Turkey, and Eastern Europe. As a key player in international banking, the Group has leading platforms and business lines in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific. BNP Paribas has implemented a Corporate Social Responsibility approach in all its activities, enabling it to contribute to the construction of a sustainable future, while ensuring the Group's performance and stability

Commitment to Diversity and Inclusion :

At BNP Paribas, we passionately embrace diversity and are committed to fostering an inclusive workplace where all employees are valued, respected and can bring their authentic selves to work. We prohibit Discrimination and Harassment of any kind and our policies promote equal employment opportunity for all employees and applicants, irrespective of, but not limited to their gender, gender identity, sex, sexual orientation, ethnicity, race, colour, national origin, age, religion, social status, mental or physical disabilities, veteran status etc. As a global Bank, we truly believe that inclusion and diversity of our teams is key to our success in serving our clients and the communities we operate in.

About Business line / Function :

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

Job Title :

Senior Quantitative Analyst – Market and Counterparty Risk Modelling.

Business Line / Function :

RISK / RISK Global Framework / RISK Models and Regulatory

Business Unit / Team :

RISK Models and Regulatory / SIGMA

Location : Mumbai

Position Purpose & Responsibilities :

Working 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, analyze 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 optimization and promotion of the code to the production environment.

Ensure that all methodologies, tools, processes and procedures are documented to a high standard satisfying both internal and regulatory expectations, and that any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation.

Contribute to the quality assurance processes surrounding risk measurement including back testing and VaR Adequacy (P&L Explain) process.

Cooperate with the RISK model validation teams in the review and approval of risk models.

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, where the standard and systematic methods may not be applicable or appropriate

Technical & Behavioral Competencies

With minimum experience of 5+ years in Risk Modelling

A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance. Both Masters and Ph.Ds. are welcome.

A strong interest and familiarity with risk management best practices, financial markets and economic developments.

Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation, hedge funds) are also welcome.

Sound understanding of stochastic processes and their application to risk factor simulations.

A practical knowledge of derivatives, their risk drivers and the models used to price them; exposure to at least one of the following asset classes : credit, repo, IR / FX, equity, commodities, preferably from a risk management perspective.

Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment.

The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory or supervisory bodies is a plus.

A good understanding and awareness of the regulatory framework for banks is desirable

Candidates expected to have PhD with further research experience.

Candidates should demonstrate proven record of research and academic excellence; published work is a plus.

More senior candidates are expected to demonstrate leadership in collaborative research projects.

The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in joint research with other research teams is a plus.

Reasonable coding skills are expected.