London - Long Term Internship - Risk Global Markets - Prudent Valuation
Department Overview
The mission of Risk Global Markets is to provide Senior Management of the Group, of the Operating Divisions, and of the Risk Function with full transparency and dynamic analysis of the risks and clients managed by CIB Global Markets.
Risk Global Markets will contribute to the definition of the Group’s risk appetite, its risk decision making process and the optimization of capital allocation to support the development of the Operating Divisions.
Mission Description : Preparing industrialisation of the Prudent Valuation for Fixed Income perimeter.
BNP Paribas has launched a project to industrialize the calculations of the Prudent Value. Prudent Value is the value to be used for the regulatory Tier 1 capital calculations. It has been introduced in the CRR (Capital Requirements Regulation) and defined in the Regulatory Technical Standard (RTS) written by the EBA (European Banking Authority).
Prudent Value methodologies are defined by the market risk analysts. Each analyst has currently implemented his methodology in his own spreadsheet. There is a need to have all these methodologies developed in a secure system and have the calculations done automatically.
The main tasks of this position will include:
- Writing specification for the industrialization of the methodologies in Risk Navigator (BNP Paribas in-house risk management system).
- Review the spreadsheets developed by each analyst with the view of
- ensuring that the methodologies implemented in the spreadsheet correspond to the ones proposed in the methodology documents and reporting the incoherence between the 2 if any
- ensuring that the spreadsheets are clear enough to be given to the developer for an “easy” implementation in the risk system
- Ensure proper coordination between market risk analysts and IT developers during the implementation phase
Responsibilities will also involve preparing the external review of the operational implementation of the PVA calculations that will start from end of April.
The successful candidate will report to the Fixed Income Valuation Risk Officer. He or she will work directly with the different analysts in charge of the PVA methodologies as well as with the IT developers of the methodologies.
Professional Qualifications / Candidate Profile
- Education : Graduate/Post graduate in a quantitative subject
- Languages : English
- Skills :
- Product knowledge, mainly derivatives including exotic products
- Risk management principles knowledge
- IT skills: good level of Excel and VBA
- Good communication skills (writing and oral). Able to establish relationships. Concise writing skills.
- Autonomy in work organisation, able to take initiatives.
- Team work.
The internship would start in July for 6 months.
This programme is closed to applications.