BNP Paribas ISPL - Quant Analyst/Senior Quant Analyst - Market & Counterparty Risk Modelling

About BNP Paribas India Solutions:

- Established in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP Paribas SA, European Union's leading bank with an international reach. With delivery centers located in Bengaluru, Chennai and Mumbai, we are a 24x7 global delivery center. India Solutions services three business lines: Corporate and Institutional Banking, Investment Solutions and Retail Banking for BNP Paribas across the Group. Driving innovation and growth, we are harnessing the potential of over 10000 employees, to provide support and develop best-in-class solutions.

Commitment to Diversity and Inclusion:

- At BNP Paribas, we passionately embrace diversity and are committed to fostering an inclusive workplace where all employees are valued, respected and can bring their authentic selves to work. We prohibit Discrimination and Harassment of any kind and our policies promote equal employment opportunity for all employees and applicants, irrespective of, but not limited to their gender, gender identity, sex, sexual orientation, ethnicity, race, colour, national origin, age, religion, social status, mental or physical disabilities, veteran status etc. As a global Bank, we truly believe that inclusion and diversity of our teams is key to our success in serving our clients and the communities we operate in.

About Business line/Function:

- Systems Integrated Methods and Analytics (SIGMA) is a team of specialized risk officers with global accountability for the counterparty, market and liquidity risk methodologies within the bank's RISK function. It also maintains the internal model methodology for operational risk. Organizationally, it is embedded in the RISK Global Framework department and in particular its RISK Models & Regulatory group

Office Location : Mumbai

Position Purpose:

- SIGMA's mission is to develop and continually improve the group's risk modelling & measurement, analysis and back testing capabilities. SIGMA is organized in streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), as well as a quantitative development / architecture stream. The team's remit includes internal risk models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space

Responsibilities:

Working in close partnership with other RISK teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA's mission, taking responsibilities in some of the following areas:

- Participate in methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes.

- Investigate, analyse and design risk methods and models, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints.

- Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimisation and promotion of the code to the production environment.

- Ensure that all methodologies, tools, processes and procedures are documented to a high standard satisfying both internal and regulatory expectations, and that any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation.

- Contribute to the quality assurance processes surrounding risk measurement including backtesting and VaR Adequacy (P&L Explain) process.

- Cooperate with the RISK model validation teams in the review and approval of risk models.

- Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS).

- In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.

Our requirements:

- Candidates with both industry background and academic research background are welcome.

To be successful in this role, the candidate should meet the following requirements:

- A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance. Both Masters and Ph.Ds. are welcome.

- The Department conducts business in English, thus a good command of both verbal and written English is essential.

Further requirements are specified separately for experienced candidates with financial industry background and for experienced candidates with academic research background:

Experienced candidates with financial industry background are welcome from banks, investment companies and consultancies:

- A strong interest and familiarity with risk management best practises, financial markets and economic developments.

- Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation, hedge funds) are also welcome.

- Sound understanding of stochastic processes and their application to risk factor simulations.

- A practical knowledge of derivatives, their risk drivers and the models used to price them; exposure to at least one of the following asset classes: credit, repo, IR/FX, equity, commodities, preferably from a risk management perspective.

- Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment.

- The 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 of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory or supervisory bodies is a plus.

- A good understanding and awareness of the regulatory framework for banks is desirable.

- Experienced candidates with academic research background are welcome from the range of disciplines: from the field of financial mathematics to broader fields of mathematics, physics and engineering. We welcome both academic and industrial scientists. Successful candidate will be provided internally with on the job training in financial mathematics and banking fundamentals.

- Candidates expected to have PhD with further research experience.

- Candidates should demonstrate proven record of research and academic excellence; published work is a plus.

- More senior candidates are expected to demonstrate leadership in collaborative research projects.

- The 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 of the day-to-day role. Previous experience in joint research with other research teams is a plus.

- Reasonable coding skills are expected.

In addition, a candidate from any background will have the ability to:

- Work to meet tight deadlines.

- Work flexibly as part of multiple teams and autonomously.

- Grasp the intricacies of governance-related processes and procedures.

- Juggle changing priorities and a varied workload.

- Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred.