Risk Global Markets
BNP Paribas
Lisbon, Lisbon, Portugal
há 17 horas

BNP Paribas is aleading European bank with an international reach. It has a presence in 72countries, with more than 202,000 Employees including more than 154,000 inEurope and over 5,000 in Portugal alone.

BNP Paribas is presentin Portugal since 1985, having been one of the first foreign banks to operatein the country. Today, BNP Paribas has several entities operating directly inthis territory, offering a wide range of integrated financial solutions tosupport its clients and their businesses.

Worldwide, the Grouphas key positions in its three main activities : Domestic Markets andInternational Financial Services (whose retail-banking networks and financialservices are covered by Retail Banking & Services) and Corporate &Institutional Banking, which serves two client franchises : corporate clientsand institutional investors.

The Group helps all its clients (individuals, communityassociations, entrepreneurs, SMEs, corporate and institutional clients) torealise their projects through solutions spanning financing, investment,savings and protection insurance.

DEPARTMENT OVERVIEW

RISK Global Markets provides full transparency and dynamic analysis of the market, counterparty,valuation and liquidity risks managed by CIB Global Markets to BNP Paribas topmanagement.

Based on the Group’s risk appetite statement, RISK GM contributesto the definition of GM’s target risk profile, its risk decision-making processand the optimisation of capital allocation to support its development.

It willmonitor the actual risk profile of GM versus this target one, and assess how itmay be impacted by new activities and upcoming evolutions.

  • More specifically,RISK GM proactively identify, analyse and review market and counterparty riskexposures on an ongoing basis;
  • contribute to define or approve a riskmeasurement framework, in particular official market and counterparty riskmeasurement methodologies used to compute Value-at-Risk (VaR), counterpartyexposures, regulatory capital, as well as to define limits and controlexposure;
  • assist and advise all levels of Management on risk-taking decisions;contribute to the valuation process and the valuation risk monitoring;
  • define aconsistent collateral framework across the covered perimeter.

    We cover products inEquities, Commodities, Interest Rate, Foreign Exchange, Emerging Markets andCredit trading desks while also covering the dimensions of financing andcounterparty risk hedging desks (i.e. XVA).

    We are looking torecruit individuals who are technically competent to embrace the depth ofproducts encountered in the capital markets today from a technical market riskanalysis perspective, who champion diversity with open mind-set, who arereceptive to change and comfortable to fit into a fast pace workingenvironment, who are motivated to learn and who are sufficiently self-driven toachieve their goals.

    WHAT THIS INTERNSHIP REPRESENTS FOR YOU

  • A truly diversified role where you can interact andlearn about the challenges faced by the Market, Counterparty and Financingrisks experts.
  • A chance to expend your network within BNP ParibasEurope and worldwide RISK GM experts from APAC to Americas.
  • The opportunity to develop a detailed understanding ofthe Bank’s products and activities (Capital Markets, Financing activities, etc.
  • both from a conceptual and from a practical viewpoint.

  • The opportunity to concretely apply academicprinciples related to option theory or data analysis & science.
  • ROLE AND RESPONSIBILITIES

  • Automate and industrialise the various tools used bythe market risk and counterparty risk analysts while keeping consistency inmind.
  • With support from the relevant RISK GM analysts,propose enhancements of the limit framework nomenclature to drive furtherconsistency.
  • Take ownership of the third phase of the developmentof a Fair Value Reserve dashboard coded in Python.
  • Participate to the second phase of theindustrialisation of the sensitivity limit calibration into a Light ITplatform.
  • As first successes are delivered, participate to otherprojects on Fair Value Reserve calibration automation.
  • Support and take ownership of the monitoring of someof trading book metrics for Europe notably :
  • o Basel 2.5 metrics as Var, sVar and IRC and their dailysign-off.

    o Sensitivities contributing to the Prudent ValuationAdjustment and to the Reserve Framework.

    o Stress Test

    o Main sensitivities Controlled and Monitored by MarketRisk

    o French Banking Law and Volcker rule metrics

    o FRTB metrics as Standard Approach, NMRF and P&LAttribution

    o Generally, all P&L Explain related metrics.

    Regularly provideupdates to the Head of RISK GM Lisbon and to the project sponsors on projectadvancements.

    PROFILE

  • Master Degree in Engineering, Financial Engineering,Finance, Maths, Sciences, Economics, Econometrics (or related areas)
  • English fluency
  • Proficient written & oral communication
  • Maths skills obtained through relevant studies (engineeringmathematics level or higher calculus, Taylor’s theorem is essential)
  • Knowledge of financial markets
  • Motivation to proactively work as part of a team
  • Curious and highly motivated to learn
  • Problem solving and ability to offer different perspectives
  • An interest in developing practical solutions to adata analysis problems by being proficient with R or Python;
  • Some familiarity with financial products would be adefinite advantage (bond pricing, definition of Greeks (Delta / Vega / Gamma),concepts of option pricing) and will be preferred;
  • Exposure to banking regulation issues is a plus.
  • Please note that onlyapplications submitted in English will be considered.

    In case you areselected for this role, further documentation will be requested to support yourhiring process.

    BNP Paribas is anequal opportunity employer and proud to provide equal employment opportunity toall job seekers. We are actively committed to ensuring that no individual isdiscriminated against on the grounds of age, disability, gender reassignment,marriage or civil partnership status, pregnancy and maternity, race, religionor belief, sex or sexual orientation.

    Equity and diversity are at the core of ourrecruitment policy because we believe that they foster creativity andefficiency which in turn increase performance and productivity.

    We strive toreflect the society we live in, while keeping with the image of our clients.

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