Experteer OverviewIn this role you safeguard the integrity of market, counter‐party and valuation risk models at BNP Paribas. You will perform independent reviews and assess model limitations to ensure alignment with regulatory standards. You'll develop quantitative scripts to compare model alternatives and support validation, collaborating with developers and stakeholders across the business. This opportunity let you influence risk governance on a global scale while staying at the forefront of regression, pricing and risk modelling methodologies.
Compensaciones / Ventajas
- Conduct independent reviews of market, counter‐party and valuation risk models, evaluating conceptual soundness and limitations
- Analyse model outputs against regulatory requirements (FRTB, SA‐CCR) and internal policies, documenting findings
- Develop and run quantitative scripts (Python, C++, R) to compare model alternatives and support validation
- Liaise with model developers, validation managers and business owners to gather data, clarify assumptions and present results
Responsabilidades
- 2-12 years of quantitative experience
- MSc or PhD in financial mathematics or a related field
- Advanced knowledge of capital markets, product liquidity and collateral conventions
- Strong understanding of stochastic processes, derivatives pricing and market‐risk modelling techniques
- In‐depth familiarity with regulatory frameworks (FRTB, SA‐CCR) and internal model‐risk policies
- Proficiency in C++, C#, Python, R or Matlab for rapid model assessment
- Experience with model validation and model‐risk‐management processes
- Curiosity to stay abreast of new developments and drive continuous learning
- Ability to build relationships, challenge methodologies and propose alternatives
- Results‐orientated, persuasive, autonomous and a genuine team player
Requisitos principales
- Dynamic international environment
- Training programmes
- Diverse and inclusive community
- Corporate volunteering programme (1 Million Hours 2 Help)
- Flexible compensation and hybrid work model
- 32 vacation days