Who we are

BNP Paribas is a leading global bank and a prominent international banking institution, operating in numerous locations worldwide and offering multiple financial services, from retail banking to corporate and institutional banking (clients financing, advisory, capital market services). The bank is head-quartered in Paris but has a significant presence in the UK.

Department Overview

SIGMA is the quantitative modelling team with overall responsibility for market, liquidity and counterparty credit risk methods within BNP Paribas.

The team sits within Enterprise Risk Architecture (ERA), which is part of the Risk Function of the group. The Risk Function is globally accountable for the definition of official risk policies, guidelines and procedures, as well as the quantification and monitoring of risks taken by the various business lines, to ensure alignment with risk appetite and policies. At BNP Paribas, a well-developed risk management culture is based on a long-term vision, a committed management, and a strong and independent organisation.

Within ERA, SIGMA’s mission is to develop and continually improve the group’s risk modelling & measurement, analysis and back-testing capabilities. SIGMA is organised in four streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), supported by architects responsible for ensuring consistency across methodological research and development activities.

The team’s remit includes all the Internal Risk Models in use within the Bank, such as VaR, Stressed VaR, IRC and CRM models in the market risk space, as well as EEPE, Stressed EEPE, Regulatory CVA models in the counterparty risk space. In the context of market risk modelling, the incoming regulation surrounding the “Fundamental Review of the Trading Book” (FRTB) is becoming an increasingly important cornerstone for the team.

What we offer

The Graduate Program is designed to provide the successful candidate with in-depth theoretical and practical training. The graduate will participate to an initial 2-week off-site graduate training followed by a 4-6 week internal SIGMA quantitative risk training before moving into a full-time role in one of the four SIGMA streams.

The successful candidate will have the opportunity to further develop his or her quantitative skillset, joining a multi-cultural team of seasoned quantitative analysts eager to stay abreast of the latest market and industry developments (e.g. Fundamental Review of the Trading Book). As such he or she will also have the opportunity to contribute to shaping the bank’s and the industry’s future of internal models and risk management.

The role is transversal in nature and the successful candidate will contribute to improving BNP Paribas’ internal models in both market and counterparty risk spaces. The role is not limited to quantitative modelling and will also allow the candidate to further develop or strengthen his or her development skillset (our proprietary library is implemented in C#).

The role will also require the candidate to interact with many, often senior managers, e.g. to seek internal approval prior to production release in the context of validation committees. As such, he or she will be given the opportunity to present his or her work to the wider audience, providing a platform for future career development within the bank.

Finally, whilst the candidate is expected to initially specialise in a given asset class, transaction support activities will ensure he or she gets exposed to the widest possible spectrum of financial instruments and risks. Rotating across streams and asset classes will also be a possibility eventually.

As SIGMA’s remit is bank-wide, its professionals gain diverse financial experience and a broad perspective on how the bank functions as a whole. On many occasions, its unique position within the Risk Function keeps SIGMA at the forefront of the firm's strategic developments. Additionally, the graduate program provides access to a number of workshops, in-house training and networking events.

Job Summary & Responsibilities

The successful graduate candidate will contribute to SIGMA’s mission by taking responsibility for the following:

• Work with other SIGMA team members to design risk methods respecting the aims of accurately capturing risks whilst considering system or other constraints (in co-operation with the Risk Systems team);
• Design, develop and test code changes required to implement the risk methods in the risk systems;
• Contribute to the quality assurance processes surrounding risk measurement including back-testing and the VaR Adequacy (P&L Explain) process;
• Co-operate with the risk model validation teams in the review and approval of risk models.

Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically contribute to the methodological research and design in a given asset class (to be defined based on candidate’s experience and team requirements).

Our requirements

To be successful in this role, the candidate should meet the following requirements:

• A strong academic background, with at minimum a Masters in Mathematics, Physics, Quantitative Finance or Engineering;
• A strong theoretical knowledge of stochastic processes and derivative products;
• Strong Programming Skills (C++, C#, R or Python)
• A strong interest in risk management, financial derivatives and financial markets;
• Strong written and verbal communication skills
• Diligence and attention to detail

Candidates able to exhibit a curious mindset and those able to demonstrate a strong intuition for identifying and measuring risks of traded instruments will be preferred.

Location: London

Start date: August 2018

Opening date: 27/11/2017

Closing date: 19/05/2018

Salary: competitive