Risk Analyst for Risk Global Markets

**About the job**
- The mission of RISK Global Markets (“RISK GM”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market, counterparty, valuation and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.
- Based on the Group’s Risk Appetite Statement and in line with RISK’s mandate, RISK GM acts as second line of defence for the risks within its remit. As such, it contributes to the definition of GM’s target risk profile, their risk decision-making process and the optimisation of resource allocation in order to support the business to grow in a sustainable manner. It monitors the actual risk profile versus the target one, and assess how it may be impacted by new activities and upcoming evolutions.
- The RISK department aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group’s Risk Appetite and its strategy. RISK teams engage in an upstream dialogue with the business to better understand their strategy, objectives, deal and then RISK expresses its opinion and recommendations. The RISK function is independent, reporting directly to the CEO and Group Board.
- Our risk management function (“RISK”) is recognised in the industry as being first tier.
- Our main missions are to:

- Advise the Bank on risk appetite definition; credit risk, counterparty risk, market risk, liquidity risk, operational risk, cyber risk and other potential risks.
- Contribute as an objective “second pair of eyes” that risks taken on by the Bank align with its policies through analysis, valuation and documentation.
- Report and alert bank management of the status of risks to which the bank is exposed.

**Your Main Activities Are**
- Review and approval of Valuation Model, considering suitability, use and set-up, implementation. Challenging hypotheses, verifying mathematics and reviewing input data and calibration. Comparing model to a challenger model; understanding the associated model risk and potential for model error and its significance; understanding the interaction of the model with the market, the products and the broader portfolio; documenting the review work and communicate it to stakeholders while maintaining a continuous and sound dialogue with them
- Regular reassessment and re-review of existing valuation models. Monitor the model performance by developing tools, and implementing performance metrics defined alongside senior analysts
- Maintain the mapping between product and models and the associated controls
- Ensures model parameters controls in term of levels and the surrounding control framework
- Provides quantitative analysis to help in the definition and assessment of the risk management framework for new trades, products and activities that are heavily quantitative or model dependent
- Define, maintain and document Valuation adjustments methodologies related to model risk uncertainty and compute their impacts at the appropriate frequency
- Propose definition and measurement of model risk at aggregate level of model, portfolio and derivatives product
- Collaborate with other teams to achieve the goals of the organization on automation, regulatory topics or risk management

**Profile and Skills to Success**
- Masters Degree in Mathematics / Sciences
- At least 4 years of relevant experience
- Fluency in English, both oral and written (mandatory)
- Knowledge in
- Models and pricing tools, namely Derivatives Pricing Models
- IT Languages such as Phyton
- Skills
- Communication skills - oral & written
- Ability to collaborate / Teamwork
- Analytical Ability
- Client focused
- Attention to detail / rigor
- Creativity & Innovation / Problem solving

**About the team**
- The RISK Global Markets Valuation Model Risk Team is the RISK team responsible for the second line of defence on valuation models within Global Markets. This therefore includes independent review and control of all models used for the generation of official daily P&L and risks. The team furthermore acts as a centre of quantitative expertise within RISK Global Markets.
- RISK is a good place to work because of the breadth of opportunities. With over 5000 employees worldwide and reflecting the overall BNPP group culture, RISK benefits from and encourages a diverse staff base with many different nationalities, cultures, levels of experience and academic backgrounds.
- Our staff well-being is an integral part of the “people care” values within our group. The culture fosters career longevity and internal mobility, while equally supporting new graduates and talents. Due to the varied mix of experience, fresh talents benefit from learning from long standing staff who are always happy to share and teach their extensive experience and wide breadth of knowledge.
- High