STMM Quantitative Stress Testing Analyst

at  BNP Paribas

ABOUT THE JOB

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 Simulations, has for objective to coordinate 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
Within the STFS platform, Stress-Testing Methodologies & Models (STMM), is responsible for the S/T models and methodologies for all major drivers impacting P&L, liquidity and capital planning globally for the Bank. The team is also responsible for coordinating the development and implementation of models and methodologies that combine different risks (e.g. market risk, operational risk, credit risk, liquidity risk…). It ensures the consistency and robustness of S/T models and methodologies by developing models as a transversal expertise center for the Group liaising with the different topics experts in RISK. The team is composed of quantitative analysts and data scientists with a clear orientation towards innovation. Its transversal positioning also brings the opportunity to work with stakeholders in many regions and get an understanding of a variety of business of the bank
Within STMM, one team is dedicated to credit risk. This team covers the models and methodologies used for the projection of credit risk parameters for stress testing and IFRS 9. The team expertises are related to:
Quantitative analysis: portfolio modelling, rating migration and LGD models
Time series modelling for the anticipation of risk parameters
Numerical treatments
Reporting and analysis of stress testing outcomes

Please refer the Job description for details