Valuation Market Risk Intern

July 4, 2024

Valuation Market Risk Intern


  • Internship
  • PT-Porto
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About the job

  • The position is a Quantitative Analyst role in the Valuation Adjustments team within RISK Market & Financial Institutions (“RISK MFI”)

  • RISK MFI provides the Senior Management of the Group, of the RISK Function and of Corporate & Institutional Banking (“CIB”) with full transparency and dynamic analysis and monitoring of market, counterparty, liquidity risks originated and managed by CIB GM and of credit risks on Financial Institutions in order to assist them in their risk decision making and monitoring

  • The RISK MFI Valuation Adjustments stream is at the core of the valuation control chain of BNPP’s trading activities. It is responsible for the valuation adjustments methodologies on Fair Value, on Prudent Value and on Independent Price Verification from their design, maintenance, implementation, regular calibration, analysis, monitoring and reporting

  • The Valuation Adjustment team works within an Agile framework

Your Main Activities Are

  •           Integrating more data into the calibration methodologies and contributing to methodology improvements as a result

  •        The regular calibration of Valuation Adjustments methodologies from trading data and the analysis of financial impacts

  • The monthly computation, analysis, reporting and sign-off of monthly Valuation Adjustments methodology outputs and providing visibility on intra-month evolution

  • Contribute to the design of new methodologies based on proper quantitative analysis using historical data and simulation

  • Contribute to the development of automated solutions to improve the efficiency and reliability of the team processes, leveraging high industrialization standards from internal IT teams

  • Collaborate with other stakeholders of the team among trading, market risk managers, Quant Research, Finance, and developers and operational analysts of RISK Systems

Profile and Skills to Success

  • Master’s degree in Economics, Applied or Fundamental Mathematics, Science (Physics, astrophysics, Biology,…) or Engineering. Advanced degree a plus
  • Analytical mindset, detail oriented and eager to solve problem
  • Fluency in English 
  • Create a positive working environment and facilitate cooperation and interaction within and beyond the team
  • Effectively deliver complex oral and written messages in a clear, structured, accurate and concise manner, based on facts
  • Value and integrate client’s feedback to improve products, services and processes
  • Ability to anticipate and takes initiative to answer a particular situation, to learn from experiences and to deploy curiosity about topics outside their immediate scope
  • Basic programming skills. Knowledge of Python is recommended.
  • Knowledge in Finance and Derivatives is appreciated.