Data Analyst – Calibration Officer

June 3, 2024

Data Analyst – Calibration Officer

Reference12348602

  • Permanent
  • PT-Porto
  • PROJECT & TRANSFORMATION MANAGEMENT
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Department overview
The Calibration team is part of the RISK department and its entity RISK Global Services. This department reunites all the teams offering common services required in the management and supervision of the Bank’s risk profile. The RISK Global Services teams aim to transversally develop optimized resources, platforms and common services that are adding value for all of RISK. Their activities cover transversally market, counterparty, credit and liquidity related topics. They assume their responsibilities in full cooperation with either RISK Business Domains or Global Practice teams, or else with subsidiaries or branches of the corresponding RISK teams. 
More precisely, the Calibration team is part of RISK Systems within RISK Global Services. RISK Systems at Group level is responsible for risk capital markets IT systems. Within RISK Systems, the Calibration team is responsible for the regular control of the parameters used in the market and counterparty credit risk calculation processes. Such calculation processes are global in the bank (no process by region or country) and as such, the team interacts with other teams worldwide. 
The function offers the opportunity to act in an international and dynamic environment with new business and regulatory requirements to cope with. 
Main Tasks and Responsibilities: 
The candidate will be responsible for the following tasks: 
• To ensure regular analysis and updating of the statistical parameters used in market management systems. 
• To assess the impact of parameter analysis on business. 
• To develop the calibration process with new risk factors and updates of the risk methodology. 
• To meet all legal and economic requirements for sizing. 
• To optimize the automation and flexibility of the process. 
More precisely, the candidate will be responsible for a set of calibration on counterparty risk (quarterly calibration of the PFE and monitoring of stressed periods for stressed EEPE, annual calibration of counterparty standards). She or he will coordinate with all the relevant teams to present on a periodic basis to RISK senior management and sometimes regulators the impacts of these calibration runs. 
Processes rely on rigorous governance supported by procedures and meetings and on strong interactions with other teams throughout BNP Paribas Group. 
Professional Qualifications / Candidate Profile : 
• Delivery-focused, with the objective to deliver added value to our customers (including Front Office). 
• Analytical skills, problem solving/analysis. 
• Strong communication skills (data consolidation, summary, documentation in English). 
• Fluent in English. 
• Proficient in Office and a good knowledge of the Python programming language is an asset. 
• Ability to work with colleagues from the team as well as from other RISK teams (Systems, Methodology, Reporting, Market and Counterparty Risk Analysts …) and Front Office teams.  
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