Valuation Market Risk Senior Analyst

May 9, 2024

Valuation Market Risk Senior Analyst

Reference2303RSK14381 - 1

  • Standard / Permanent
  • PT-13-Porto
  • RISK
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Purpose and Scope of the role

The position is a Quantitative Methodology Senior 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 Valuation Adjustments stream is responsible for the valuation adjustments methodologies on Fair and Prudent value (reserves, methodology corrections and independent price verification) from their design, maintenance, implementation, regular calibration, analysis, monitoring and reporting.

The Valuation Adjustment team works within an Agile framework.

Responsibilities of the Quantitative Methodology Specialist role

  • Lead or contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation.
  •  Assess the impact of internally or externally driven updates to the methodology set and communicate with the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit, . ) before release.
  • Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information
  • Continuously develop and improve a critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set.
  •  Manage and overview the computation, validation and reporting of monthly & quarterly VAs.
  • Analyse the monthly variations of VAs stocks from complex methodologies used for exotics products and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines (Credit, Rates & FX, Equities, Commodities).
  • Represent the team in the committees related to Valuation Adjustments
  • Lead small projects to improve the efficiency and reliability of the team processes, by developing automated solutions leveraging high industrialization standards, or integrating the methodologies under responsibility into IT platform in close collaboration with IT development and Digital teams.

Role Competencies

  • Ability to gather, prioritise and integrate large amounts of information, to process and simplify it
  • Ability to systematically produce relevant documents with accurate, precise and verified information
  • Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term
  • Able to identify solutions to overcome obstacles and drive results to conclusion working autonomously and implementing work processes, ideas and solutions with tenacity.
  • Effectively deliver and adapt complex messages according to the targeted audience
  • Value and integrate client’s feedback to improve products, services and processes.

 Skills, experience and qualifications

  • Master’s degree in Finance, Applied Mathematics, Science or Engineering. Advanced degree or professional certifications like FRM or CFA are a plus.
  • 7 to 12 years of working experience in a relevant financial market methodology field. A previous experience in Market Risk Management is an advantage.
  • Good computer programming skills. Knowledge of Python is required.
  • Good knowledge of Financial & Risk management concepts as well as derivatives products recommended.

#LI-Hybrid

Why joining BNP Paribas?

· Leading banking institution

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 65 countries, with around 190 000 Employees – including more than 145 000 in Europe.

· Our presence in Portugal

Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 7.100 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

· International reach

Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients 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:

  • Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines;
  • Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services;
  • Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional clients.

· Diversity and Inclusion commitment

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.

· Commitment towards work/life balance

At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.

· Remote Working Conditions

At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.

To find out more on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal

* 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.

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