Senior Data Scientist – Credit Modelling
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Group BNP Paribas
RISK HUB
RISK is an integrated and independent control function of the BNP Paribas Group. It is the second line of defense on the risk management activities of the Group which are under its direct responsibilities, including credit and counterparty risk, market risk, funding and liquidity risk, interest rate and foreign exchange risks in the banking book, insurance risk, operational risk, and environmental and social risks.
RISK 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 Groups Risk Appetite and its strategy.
RISK Iberian Hub Madrid is a transversal platform servicing the RISK Function by covering added‐value activities around credit risk, market risk, operational risk and data protection. Offering a wide range of services to RISK teams, from consulting to cyber security going through data analysis, modelling or artificial intelligence.
ABOUT THE JOB
Want to help shape the bank of tomorrow today?
How can the Bank leverage data to assess credit risk on its portfolio of existing and new clients?
Risk assessment encompasses various elements : how likely is it that a client will not be able to comply with the contractual requirements of his loan? What will be the clients outstanding balance in this situation? What loss is the bank expected to suffer if a client is no longer able to repay a loan?
As a member of the RISK Models team, you will join a team of experts whose goal is to answer these questions through the development of statistical or expert models.
By analysing historical data, working together with the business lines, IT department, the modelling experts at BNP Paribas group and taking into account the remarks of supervisor representatives, the team creates tools that help the bank calculate the capital requirements for its credit exposure, the risk component of the credit price or that contribute to the approval process of a new credit.
RESPONSIBILITIES
Designing and developing models for credit risk on the scope mainly of companies
Finding, managing and using the most appropriate data sources for modelling purposes
Working with expert colleagues and business representatives to examine the results and keep models grounded in reality
Documenting each step of the development and informing decision makers by presenting them options and results
Ensuring correct implementation of the tools (together with the IT department)
Continuously assessing models by means of back‐testing
Answering specific, external requests regarding statistics related to credit risk assessment
Following‐up evolutions in the regulation and in credit risk modelling best‐practices
Potential expansion of responsibilities to encompass HR‐related tasks, complementing existing operational duties
REQUIREMENTS
Studies: Master degree or higher in Mathematics, Economy or Econometrics, Statistics or a similar background where analytics and figures prevail
Experience: At least 5 years in credit risk modelling (PD / LGD / LGDD / CCF)
Languages: Perfectly in English, writing form. Ideally speak French fluently
SKILLS
Technical
Strong SAS programming skills
Experience with Big Data technologies, ratings scorings use across the bank or credit products (asset)
Transversal / Behavioral
Ability to manage long‐term deadlines and plan work accordingly
Creative, pays attention to details, works easily with both technical and business‐oriented people
BENEFITS
Training programs, career plans and internal mobility opportunities, national and international thanks to our presence in different countries
Diversity and Inclusion Committee that ensures an inclusive work environment
Employee communities for diversity and inclusion awareness (PRIDE, We Generations and MixCity)
Corporate volunteering program (1 Million Hours 2 Help)
Flexible compensation plan
Hybrid telecommuting model (50%)
32 vacation days
Diversity and inclusion commitment
BNPParibas Group in Spain 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 / paternity, 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. xohynlm We strive to reflect the society we live in, while keeping with the image of our clients.