Model Validation Quant/Market Risk Methodolgies Specialist
January 6, 2018
New York, New York
Responsibilities: Market risk methodologies are developed for both regulatory and internal risk management purposes.
The European Regulation called CRR allows computing market risk own funds requirements by the Internal Model Approach (IMA). As part of IMAs, the BNP Paribas Group has developed Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM) metrics for market risk own funds requirements computations.
The global VaR and Stressed VaR metrics have been realigned to measure also general market risk at the level of the BNP Paribas Intermediary Holding Company (IHC) according to the US Swap Margin Rule.
Besides the prudential capital requirement measures, the Volcker Rule, the French Banking Law and ICAAP require market risk metrics also for assessing hedge effectiveness, for limit setting and for exposure management.
Finally, various market risk metrics have been developed at BNP Paribas also for internal market risk management.
Sound model risk management practices require that these market risk metrics, and any new developments, are subject to initial and periodic independent reviews. Depending of the regulation of the various jurisdictions, these models are subject to various levels and frequency of model reassessment, and also model changes are subject to independent reviews.
The position is about performing market risk methodology reviews related to the IHC. The candidate is expected to be a specialist, expert who is able to perform the required qualitative and quantitative reviews on his/her own. The candidate shall have sufficient technical expertise to fulfil these requirements and shall have an audit mind-set, furthermore, skills to review methodologies that are regulation-driven.
The main responsibilities are the following:
Contribute to the model risk assessment by performing in-depth methodology reviews and certifications and by defending the results in committee. Advise management on the level of model risk and on the actions to be taken.
Contribute to the governance and control framework by following the model risk evolution, by looking at potential emergence of model risk and by raising alarm when necessary, by organizing and participating in committees, quality circles, and by pro-actively reporting to management and project management teams any issues.
Contribute to an efficient project management framework by ensuring the best practices in terms of timing, execution, communication, commitment, team principles and guidelines.
Contribute to your own and the team's learning and developments by staying up-to-date with newest developments in the field, by following seminars and industry discussions, by reading the relevant scientific and business literature, and sharing this knowledge with colleagues.
Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.
Experience in similar positions between 4 – 6 years.
The position is open for various levels of experience. o The seniority of the position depends on the level of experience in developing or validating financial models related to Capital Markets either on the Front Office side or on the Risk side.
In-depth knowledge of Capital Markets: how the markets operate, what the products are, what the main risk drivers are, how the financial instruments and derivatives are revalued, and what the shortcomings of the industry standards are.
Familiarity with market risk modelling techniques and regulatory requirements.
Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.
Experience with model validation techniques and processes.
Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.
Advanced object oriented programming skills in C++ / C#.
Ability to challenge the proposed methodologies and to provide alternative solutions.
Validation skills to valorize new ideas, both supportive and critical, and to examine problems from several different points of view.
Specific audit mind-set and skills to review methodologies those are regulation-driven.
Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources. Minimum Qualifications Cont'd:
Eagerness to take ownership of projects and be autonomous in finding out the next steps.
Capacity to master the methodologies in the perimeter in order to know when, where and how to interact.
Good communication skills in English to convey clearly his/her ideas in front of various audiences, and concise writing skills.
Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.