Model Performance Analyst
BNP Paribas
Lisbon, Lisbon, Portugal
há 1 dia

BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe's banking history.

It has a presence in 71 countries, with 200 000 Employees including more than 150 000 in Europe and 6 000 in Portugal alone.

BNP Paribas is present in Portugal since 1985, having been one of the first foreign banks to operate in the country. Today, the Group has several entities operating directly in this territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

Thanks to its international presence and regular and close collaboration among its businesses, BNP Paribas has the resources to support all clients individuals, entrepreneurs, SMEs, large corporates, institutional investors and community organisations with financing, investment, savings and protection solutions that help make their projects a success.

BNP Paribas holds key positions in its three core operating divisions : Domestic Markets and International Financial Services for retail banking and specialised financial services, and Corporate & Institutional Banking for corporate and institutional clients.

  • Within the RISK ERA Models department, the Model Performance (MP) team develops and maintains the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF);
  • including the relevant ad-hoc criteria measuring the performance.

    The team carries out many other studies and participates in various transverse projects.

    Due to growing demands from European regulator / supervisor, the model performance team is carrying out studies that are becoming increasingly important.

    ROLE AND RESPONSABILITIES

    Production of Retail and Non-retail (Corporate and local models) Backtesting on PD (Probability of Default), EAD / CCF (Exposure at Default / Credit Conversion Factor) and LGD (Loss Given Default) parameters : Data collection, Database construction, Backtesting production, Report preparation.

    Production of the Regulatory Backtesting and ECB Templates on PD, EAD / CCF, LGD credit risk parameters.

    Production of shortcuts backtesting (only on non-Retail perimeter).

    Participation on transversal projects related to credit risk models performance assessment : such as Backtesting standards redaction, Industrialization of data collection tool (CRDC SAS, GRREAT, Remediation project ).

    Control and validation of GRR (Global Recovery Rate) spreadsheet : Collection of information, Data quality control - Monitoring.

    Improvement of existing tools and processes : Ensure the continuous improvement of existing programs and processes, Document the work and methodologies used.

    Ensure adequate documentation in line with Group Documentation Standards.

    By integrating the MP Lisbon team, the Model Performance Analyst works in a best in class Model team and in an international and dynamic environment.

    Missions are :

    Contribute to the production of regulatory backtesting on risk parameters by producing the different steps : Data collection, Database construction, Backtesting production, Report preparation.

    Contribute to the production of the backtesting ECB Templates.

    Contribute to the production of the backtesting Shortcuts.

    Participation on transversal projects related to credit risk models performance assessment.

    Control and validation of GRR (Global Recovery Rate) spreadsheet.

    Improvement of existing tools and processes.

    Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting.

    PROFILE

    Bachelor degree in statistics / econometrics

    Knowledge on the credit risk within the bank industry

    Knowledge on Basel regulation

    High data manipulation skills (SQL, SAS)

    Expertise in models / stats

    Fluent in English

    Rigorous mindset to work on data model

    High quality of deliverables in tight deadlines

    Capacity to work in project mode

    Analytical spirit

    Capacity of innovation and adaptation in a transversal environment

    Please note that only applications submitted in English will be considered.

    In case you are selected for this role, further documentation will be requested to support your hiring process.

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

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

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

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