London - Long Term Internship 2021 - Risk Independent Review & Control Intern

Europe
UK
London
Long Term Internship
Risk
Other

BNP Paribas Overview

The bank for a changing world. With strong roots anchored in Europe's banking history, BNP Paribas supports its clients and employees in today's changing world and has positioned itself as a leading bank in the Eurozone and a prominent international banking institution.

BNP Paribas has been recognized as the 2019 World's Best Bank for Corporate Responsibility by Euromoney magazine. This reflects our commitment to financing the economy in an ethical manner, developing and engaging our people, being an agent for positive impact on society and for combating climate change. BNP Paribas contributes to the real economy by providing solutions to a wide range of clients: individuals, community associations, entrepreneurs, SMEs, corporate clients and institutional investors. The Group helps them realise their personal and professional projects through solutions spanning financing, investment, savings and insurance.

BNPP has a significant presence in the UK with a 150-year history. Whilst recognised as a leading European bank, BNP Paribas in fact operates in 72 worldwide countries with around 200,000 employees. With such a diverse set of banking coverage (ranging from asset management insurance, retail banking, personal finance, vehicle leasing to investment banking) the career opportunities within BNPP are vast, international and attract a diverse staff base.

 

Department Overview

In many respects, banking is the business of managing risks. At BNP Paribas, our well-developed risk management culture is based on a long-term perspective, a committed management, and a strong and independent risk organisation led by RISK. Created at the same time as BNP Paribas, RISK is today a global function present in five continents and at the forefront of risk management through best-in-class expertise.

RISK is a global, integrated, and independent function.

RISK’s main missions:

  • Advise the Bank Management on the definition of risk policy;
  • Contribute as a “second pair of eyes” to ensure that risks taken by the Bank are aligned with its policies;
  • Report and alert Bank Management on the status of risks to which the Bank is exposed.

RISK is a deconcentrated organisation covering all the Business Lines and encompassing the whole chain of risk-taking.

A risk framework is adapted to each Business Line covering at least the following major risk types:

  • Credit Risk
  • Market & Counterparty Risk
  • Liquidity Risk
  • Insurance Risk
  • Operational Risk
  • Model Risk

Encompassing the whole chain of risk-taking and monitoring:

  • Risk policy
  • Risk analytics and modelling
  • Risk anticipation
  • Portfolio analysis: risk concentrations and stress-testing
  • Reporting and monitoring
  • Risk independent review & control
  • Counterparty & transaction analysis

Job Description

Market risk, counterparty risk, valuation risk and insurance risk methodologies are developed for both regulatory and internal risk management purposes.

  • The European Regulation called CRR allows computing market risk own funds requirements by the Internal Model Approach (IMA), and counterparty risk own funds requirements by the Internal Model Method (IMM) and the Advanced CVA method (A-CVA).
  • As part of the IMA, the BNP Paribas Group has developed Value-at-Risk (VaR), Stressed VaR, Incremental Risk Capital (IRC) and Comprehensive Risk Measure (CRM) metrics for market risk own funds requirements computations at Group portfolio and subsidiary entity levels, and the bank works also on developing new market risk methodologies to comply with the forthcoming Fundamental Review of the Trading Book (FRTB) regulation.
  • The global VaR and Stressed VaR metrics have been realigned to measure also general market risk at the level of the BNP Paribas Intermediary Holding Company (IHC) according to the US Market Risk Rule.
  • As part of the IMM and A-CVA, the Group has developed Effective Expected Positive Exposure (EEPE) and CVA Capital Charge measures for various OTC, listed derivatives, prime brokerage and repo trading activities, furthermore, the bank is implementing also the new Standardised Approach for Counterparty Credit Risk (SA-CCR) metric.
  • The CRR requires also the prudent valuation of all instruments that are fair valued for accounting purposes. The objective of the CRR is to ensure that the valuation of assets used for regulatory purposes is not higher than the true realisable value and, henceforth, the CRR imposes the computation of an Additional Valuation Adjustment (AVA) to be deducted from own funds.
  • Solvency II is a risk-based capital framework, similar in concept to the Basel II framework but for insurance companies. The Pillar I of Solvency II defines required own funds, also referred to as the Solvency Capital Requirement (SCR). BNP Paribas Cardif, the insurance subsidiary of the BNP Paribas Group, has put in place methodologies to compute and meet the minimum and target solvency ratios.
  • Besides the prudential capital requirement measures, the Volcker Rule, the French Banking Law and ICAAP require market risk metrics also for assessing hedge effectiveness, for limit setting and for exposure management.
  • Furthermore, in most of the jurisdictions rules have been set requiring the modelling of initial margin for non-centrally cleared derivatives. Our Group has developed also various kinds of margining models.
  • Also, various market and counterparty risk metrics, including amongst other the Potential Future Exposure (PFE) measures, have been developed at the BNP Paribas Group and its subsidiary entities for internal market and counterparty risk management.
  • Finally, BNP Paribas Cardif has decided to adopt the Standard Formula to assess its solvency. The Standard Formula approach is a modular approach using standardised parameters: underwriting (life, health and non-life), market, default and operational risks are covered. This approach requires sophisticated projection models in order to calculate metrics such as the Present Value of Future Profits (PVFP) or the Best Estimate Liabilities (BEL).

 

The use of these models create model risk for the Group that should be set against the risk appetite of the Group. In order to manage this model risk and to keep its level within the risk appetite, sound model risk management practices shall be applied to the use of these market risk, counterparty risk, valuation risk and insurance risk metrics, and to any new methodology developments within these streams.

 

These model risk management practices encompass on the second line of defence (2nd LoD) side initial and periodic independent reviews of the methodologies and the reporting of the level of model risks that has been assessed. Depending on the rules in the various jurisdictions and depending on the internal model risk ratings, the methodologies in scope are subject to various levels and frequency of model risk reassessments, and also model changes are often subject to ex-ante or ex-post independent reviews to be performed by the RISK IR RMIR team.

 

The Risk Methodology Independent Review (RMIR) team is composed of model validation quantitative analysts of various seniority levels. Model validation quantitative analysts perform independent reviews of a set of risk methodologies in scope, and advise management about the level of model risk born by the use of these methodologies.

 

The team is active in Paris, London, New York, Brussels and Madrid, serving the Group and the subsidiary entities globally, independently from the physical location of the team members.

 

The key clients of the services of the RISK IR RMIR team are A) the senior managers of the bank who are advised about the level of model risk taken and about the remedial actions that may be required, B) supervisory authorities who are reassured about the appropriateness of the models used by the bank, and C) the internal model developers and users who are informed about the model limitations that can help them in further model enhancements and in conscious use of the models.

 

The position in subject is about performing independent reviews of market, counterparty and valuation risk methodologies, and to advise management about the level of model risk born by using these methodologies.

This is a wide range of activities. Therefore, the precise scope of the review activity of the person will depend on the exact skills and experience of the candidate.

 

Professional Qualifications / Candidate Profile

Must have hard skills:

  • Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.
  • ·Sound knowledge of capital markets: how the markets operate, what the key products are, what the main risk drivers are, and risk neutral valuation of the financial instruments and derivatives.
  • ·Familiarity with pricing models as well as with market and/or counterparty risk modelling techniques.
  • Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques.
  • Good programming skills in C++ / C# or other languages allowing fast assessment of model features and carrying out comparison of model alternatives.

 

Must have soft skills:

  • Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field.
  • Ability to challenge the proposed methodologies and to provide alternative solutions.
  • Validation skills to valorise new ideas, both supportive and critical, and to examine problems from several different points of view.
  • Specific audit mind-set and skills to review methodologies that are regulation-driven.
  • Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources.
  • Eagerness to take ownership of tasks and be autonomous in finding out the next steps.
  • Good communication skills in English to convey clearly ideas in front of various audiences, and concise writing skills.


Nice to have hard and soft skills:

  • Experience with model validation techniques and processes.
  • Networking skills to get access to the information, proactively building relationships with traders, developers and risk analysts.

 

What we offer

We offer the opportunity to work in a dynamic environment where the candidate can learn about and work with cutting edge pricing and risk methodologies. The position allows having a global view on the corporate and institutional banking activity of one of the market leading top tier investment banks. There will always be opportunities to stand out and build an enviable reputation within a business of this size and the candidate will enjoy the benefits of working in an extremely focused and highly professional team with a reputation for delivering excellence.

 

Duration: 6 months

Location: London

Start date: January 2021


This programme is closed to applications.