BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, 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.

BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.

The mission of RISK Markets and Financial Institutions (“RISK MFI”) 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.

The Valuation Adjustments department is within RISK MFI, the team that owns all responsibilities related to Independent Price Verification(IPV), Fair Value Reserves (FVR), Methodology Corrections (MC) & Prudent Value Adjustments (PVA) across all Global market trading activities and regions, excluding Model FVR & MC

Purpose:

Fulfil the mission statement of RISK MFI Valuation Adjustments by taking ownership of the definition, maintenance, documentation, reference implementation, testing and release of methodologies used for Valuation adjustments covering Independent Price Verification (IPV), Fair Value Reserves, Prudent Value Adjustments among all asset classes. Contribute to maintaining the right and the related Valuation Input cartographies.

The role provides a unique opportunity to join the Valuation Adjustments team within the RISK MFI organisation and to be directly involved in the strengthening of the industrial features of the valuation adjustment platform

CORE ACCOUNTABILITIES OF ROLE

Responsible along with other team members for the maintenance of Equities & Rates Valuation Adjustments Methodologies, its standards and practices.
Maintain and enhance the documentation of the current stock of methodologies on FVR, MC, IPV and PVA following group established documentation guidelines.
Responsible along with other team members to provide clear requirements for the implementation of the calibration and computation of Valuation Adjustment methodologies.
With input from more senior Valuation Adjustments team members, decide and defend methodology choices after discussions with main stakeholders from Trading to Market Risk Officers.
Regularly provide statistical and quantitative analysis to confirm or justify methodology choices to internal and external validators.
Contribute to controlling the accuracy of the computation and reporting of the results of the methodologies under responsibility.
Participate to initiatives to industrialise the data manipulation of methodology inputs.
Develop relevant interactions with the valuation Risk Officers, Internal 2nd Line of Defence to gather a large consensus on methodology retained.
Help and contribute to the tasks of other team members and data analysts.
Constructively provide and receive feedback to achieve continuous improvements on the quality and relevance of the work.

SKILLS & EXPERIENCE REQUIRED

ESSENTIAL

A proven record of hands-on accomplishment in the financial industry in quantitative or methodological fields.
Experience in modelling the pricing of financial market products from securities to derivatives.
Quantitative fundamentals from relevant qualification. A minimum of a Master’s degree from a well-recognised university in Financial Engineering, Maths, Sciences, or a PhD or related discipline is expected.
Ability to effectively deliver and adapt complex messages according to the targeted audience
Ability to gather, prioritise and integrate large amounts of information, to process and simplify it.
Ability to lead development of new ideas that add value to the company. Open to using different forms of technology.
Ability to systematically produce relevant documents with accurate, precise and verified information.
Aims at exceeding clients’ expectations, by seeking tailored solutions to their specific needs.
Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term.
Ability to persuade, influence, convince and engage others to take action or support an issue/objective, while taking into account the goals of the organisation.

Preferred
Demonstrable experience with Python or more advanced coding languages.

EQUAL OPPORTUNITIES

BNP Paribas promotes equality of opportunity and is 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.

As an employee with BNP Paribas London Branch, we want to make sure that you are rewarded for your commitment. As such, you will be entitled to our award winning benefits package which includes a generous holiday allowance of at least 34 days (including bank holidays), a non-contributory pension of 12%, private healthcare, GP service and dental cover all as standard, along with a number of personal insurances such as income protection, life assurance and personal accident insurance. We believe in ensuring all our employees have a positive work life balance so in addition you will also have access to a variety of flexible lifestyle benefits such as cycle to work and green car leasing schemes, season ticket loans and reduced cinema and gym membership to name a few.