Quant/ Data Scientist Stress Tests

Quant/ Data Scientist Stress Tests
Empresa:

Bnp Paribas 2


Lugar:

Lisboa


Área:

Programação

Quant/ Data Scientist Stress Tests

Detalhes da Vaga

BNP Paribas is a leading European bank with an international reach. It has a presence in 72 countries, with more than 202,000 employees - including more than 154,000 in Europe and over 5,000 in Portugal alone.
BNP Paribas is present in Portugal since 1985, having been one of the first foreign banks to operate in the country. Today, BNP Paribas has several entities operating directly in this territory, offering a wide range of integrated financial solutions to support its clients and their businesses.
Worldwide, the Group has key positions in its three main activities: Domestic Markets and International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors. The Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporate and institutional clients) to realise their projects through solutions spanning financing, investment, savings and protection insurance.

BNP PARIBAS Group Finance, RISK, and ALM Treasury, have set-up a shared team in charge of the Group stress testing, the financial planning and the financial synthesis.

The team named STFS, for Stress Testing and Financial Synthesis, coordinates the strengthening of BNP Paribas' Stress-Testing (S/T) and planning capabilities so as to better serve Business Lines, Legal Entities and Group needs and meet supervisory requirement on these matters, and in a cost-efficient manner.

To that effect, STFS aims at building a flexible, industrialized, central utility accessible by BNP Paribas' Business Lines and Entities (B/E) for their local needs and their contribution to Group exercises. STFS offers an integrated S/T service to B/Es to support them in capitalizing on the shared framework for their local needs.

STFS is also responsible for executing all Group-wide, comprehensive stress testing exercises, whether regulatory or internal
STFS supports B/E's S/T initiatives to ensure consistency with group standards while respecting local regulatory and supervisory requests

BNP Paribas is recruiting for its STFS Center in Lisbon. The STFS center in Lisbon is mostly dedicated to credit risk (composed of one Data Analytics team, STDA and one Credit Methodologies & Models team, STMM) and we are looking to develop the Transversal part of the STMM team. All teams work in a one-team manner with the corresponding STFS teams based in Paris.

The Transversal STMM (Stress Testing Methods and Methodologies) team is in charge of implementing the holistic approach to stress testing, dealing with interactions between the various components, defining shared practices, and coordinating transversal works. The transversal team will be strongly involved in the RISK Anticipation governance, and work closely with other teams of STFS, gathering the full view on model roadmap and capabilities, in the implementation of the stress testing target operating model. The team focuses on market, operational, securitization and CCP risks leading transversal topics such as the review of the Internal Capital calculation and the implementation of a comprehensive Reverse Stress Test methodology.
ROLE AND RESPONSIBILITIES

For the Transversal STMM team, we are looking for Quantitative Analyst with strong Data Science skills. The candidate must be interested in Stress-Testing methodologies development and implementation of methodologies such as Reverse Stress Test, the questions of extreme scenarios identification with large number of drivers and scenario probabilisation. She / He should also be interested in the links between valuation models, risk models and stress-testing models. Finally, she / he will be in contact with the Chaire Stress Testing with Ecole Polytechnique in Paris for advanced methodology developments.

She / He will be responsible for
Monitoring STFS and BNPP Group for questions about Stress Test models and calculation engines that you have developed

Be a pilot in the development of the Python library on Stress Test models using Machine Learning / artificial intelligence. This involves building the architecture of the new library module in collaboration with the team members in Lisbon and Paris

Understanding and managing risks figures based on BNPP internal Risk and FO tools

Bring innovative approaches to find solutions

Contribute to the definition of Stress Test models on different perimeters (Market, Operational Risk, Credit, Liquidity, etc.) by specific studies

Documenting key procedures and controls

Carrying out any other task associated with the role as reasonably requested

The candidate will be reporting to the head of STFS Lisbon team.
PROFILE

Minimum of 2 to 5 years of successful experience in Market Risk or Front Office quantitative role

Strong academic background, with at minimum a Master degree in applied Mathematics, Engineer, Sciences
Knowledge in financial modelling with successful experience in Market environment (FO Quantitative Analyst, Market Risk Management, Market Model Validation, …)

Strong background in programming with ability to code in Python, C# and use of external packages

Knowledge of BNPP internal tools (MRX, Market Database, etc.) is a nice-to-have

Knowledge of BCBS regulations, CRDIV/CRR, EBA Guidelines, FRTB. Understanding of Management control principles would be much appreciated

Languages: English fluent

In addition, the candidate should have the following essential behavioral skills
Be a team player

Analytical skills
Creativity & Innovation skills; Be a problem solver, Result oriented

Autonomy & Adaptability

Reliability and sense of precision

This role will expose the candidate to a wide range of professionals within the bank

Therefore, communication skills, both written and verbal, play an essential part in the day-to-day role

Very strong ethics standards

The successful candidate will have the opportunity to
Join a multi-disciplinary team of highly qualified professionals in stress testing and provisioning

Be in a transversal position and widely exposed to worldwide contacts with many opportunities for professional development and career advancement
Develop business competences (Financial Market …) in line with stress testing

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.
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.


Fonte: Neuvoo3_Ppc


Área:

Requisitos


Conhecimentos:

  • C#
  • Python
  • Direito Tributário
  • C#

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