BNP Paribas is a leading European bank with an international reach. It has a presence in 74 countries, with more than 192,000 employees including more than 146,000 in Europe and over 4,000 in Portugal alone.
BNP Paribas is present in Portugal since 1985, having been the first foreign bank to operate in the country. Today, BNP Paribas has several entities operating directly in this territory, offering a wide range of integrated financial solutions to support its clients and their businesses.
Worldwide, the Group has key positions in its three main activities : Domestic Markets and International Financial Services (whose retail-
banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises : corporate clients and institutional investors.
The Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporate and institutional clients) to realise their projects through solutions spanning financing, investment, savings and protection insurance.
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 IMM 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.
ROLES AND RESPONSIBILITIES
cooperate with the risk model validation teams in the review and approval of risk models
other backgrounds (e.g. Front Office quantitative research, model validation) are also welcome