Global Markets - Front Office - Risk Analyst

Job description

The BNP Paribas Group is a leader in banking and financial services, employing over 200,000 people across 80 countries and 5 continents. BNP Paribas Corporate & Investment Banking (CIB) is a leading European investment bank with global leadership in many of our businesses. BNP Paribas CIB, with nearly 20,000 employees in over 50 countries, can offer you an exciting and truly global career.

At BNP Paribas CIB, we work continuously on behalf of our clients, helping them to realise their projects around the world. You can be an important part of this, helping us to serve our clients both in mature and emerging markets, providing them with financial solutions across a diverse range of expertise, products and services. Our origins lie in Europe but nearly a quarter of our employees now work in our multi-award-winning Asian offices and we are a committed player in all markets.

Strong risk management, combined with the stability that comes from being part of one of the largest banking groups in the world, underpin our success. Joining us, you'll become an integral part of a dynamic team that spans nationalities, cultures and backgrounds, drawing together people from around the globe and reflecting our commitment to international placements.

DEPARTMENT OVERVIEW

BNP Paribas' Global Markets business offers a broad range of products and services in the global interest rate, credit, currency, equities & commodity markets. Global Markets help their franchise of clients find effective ways to raise and invest capital as well as manage their exposure to risk. Their client base comprises of hundreds of corporations, institutional investors, banks, governments and supranational organizations.

Global Markets has the scale and reach to conduct business anywhere in the world and deliver products denominated in almost all of the world's currencies. Their global network comprises more than 1,700 professionals working on our six main trading floors in London, Hong Kong, New York, Paris, Singapore and Tokyo. They are supported by regional offices throughout Europe, the Americas, Middle East and Asia-Pacific.

Business line: Global Markets
Department: Strategy & Risk
Team: Global Markets Resources Management (GMRM)

Mission: Provide support to GM Resources onshore team on the management of resources and the monitoring of future regulations

OBJECTIVES

· Within CIB/Global Markets, S&R Global Markets Resources Management (GMRM) is in charge of 2 core mandates:
· Risks: second level monitoring of all risks related to financial transactions, and more particularly counterparty risk
· Financial Resources: management of capital, balance sheet and leverage ratio
· GMRM's DNA:
· A Front Office team
· A combination of several areas of expertise
· Independence from the different Global Business Lines
· Transversal to all activities and regions

RESPONSIBILITIES

Contribute to the implementation of the new market risk framework, the FRTB (Fundamental Review of the Trading Book)

· FRTB Standardised Approach:
· Perform first level analysis of the source data and processes.
· Monitor weekly capital charge: in particular, focus in some key parameter of the SA charge such as index positions, curvature charge, and main risk market movers.
· Perform impact analysis on specific FRTB SA methodology topics, such as different aggregation methodologies for the rates charge, impact of updates and changes on quantitative models (credit vs rates models, curvature topics), impact analysis on proxies used, study scope impact and perimeter extension.
· Understand and analyse capital charge trends, build reporting and investigation tools, work in the potential optimization of the capital charge.
· Support Risk validation and documentation of the processes and models.
· Test and enhance the new end-user tool developed for SA charge reporting.

· P&L Attribution: various responsibilities around new internal model test (i.e.“P&L Attribution”):
· Analysis: the candidate will perform 1 st level analysis of daily Unexplained P&L (difference between Hypothetical P&L and Risk Theoretical P&L) for all desks of Global Markets. He will provide categorisation of issues discovered and will be responsible to address the issues to the relevant teams in London and Paris in charge of resolution (GM IT, Risk GM, Risk Systems, SIGMA etc.) and provide follow-up.
· Reporting:
· Create a daily report showing P&L Explain metrics for all desks and residual Unexplained P&L . a red/green status will display if Unexplained P&L has been understood or not.
· Monthly report showing status of the desks “Pass”/”Fail” and statistics on categories of issues (methodology, market data, technical etc.). This report will serve as a continuous monitoring of quality of data and improvements performed to improve P&L Attribution test.
· Ad-hoc report: “What if” metrics displaying P&L Attribution test using alternative risk-based calculation, in order to provide a comprehensive status of a given desk after resolution of a methodological issue.
· Database: contribution to a production database containing all categorisation of Unexplained P&L made on a daily basis together with adjustments performed to solve technical issues. Adjustments will follow a strict process in order to reflect the technical issues only.

The team will be managed both by the local Lisbon structure and by a Paris based manager.

STRENGTHS

· 1-2 months initial training period, in Paris and London
· Strong daily interactions with the quantitative and engineer profiles of the Paris and London team
· Becoming an expert over the whole range of financial products, their behaviours and risks
· Leveraging on mathematics and programing skills to carry out risk analysis

PROFILE

· Master's degree or higher in Engineering, preferably with a major in Applied Mathematics and Finance
· Good knowledge of programming languages (Python, R, VBA, SQL, ,etc.)
· Analytical and quantitative skills
· Excellent knowledge of Excel
· Ability to process large amount of data and make extractions from various systems
· Ability to communicate clearly in both oral and written form (in English)
· Precision and rigorousness
· Reliability and capacity to deliver
· Autonomy and proactivity
· Team spirit and ability to work with others