Quantitative Methodology Specialist

Job Description

About BNP Paribas India Solutions:

Established in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP Paribas SA, European Union’s leading bank with an international reach. With delivery centers located in Bengaluru, Chennai and Mumbai, we are a 24×7 global delivery center. India Solutions services three business lines: Corporate and Institutional Banking, Investment Solutions and Retail Banking for BNP Paribas across the Group. Driving innovation and growth, we are harnessing the potential of over 10000 employees, to provide support and develop best-in-class solutions.

About BNP Paribas Group:

BNP Paribas is the European Union’s leading bank and key player in international banking. It operates in 65 countries and has nearly 185,000 employees, including more than 145,000 in Europe. The Group has key positions in its three main fields of activity: Commercial, Personal Banking & Services for the Group’s commercial & personal banking and several specialised businesses including BNP Paribas Personal Finance and Arval; Investment & Protection Services for savings, investment, and protection solutions; and Corporate & Institutional Banking, focused on corporate and institutional clients. Based on its strong diversified and integrated model, the Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporates and institutional clients) to realize their projects through solutions spanning financing, investment, savings and protection insurance. In Europe, BNP Paribas has four domestic markets: Belgium, France, Italy, and Luxembourg. The Group is rolling out its integrated commercial & personal banking model across several Mediterranean countries, Turkey, and Eastern Europe. As a key player in international banking, the Group has leading platforms and business lines in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific. BNP Paribas has implemented a Corporate Social Responsibility approach in all its activities, enabling it to contribute to the construction of a sustainable future, while ensuring the Group’s performance and stability

Commitment to Diversity and Inclusion

At BNP Paribas, we passionately embrace diversity and are committed to fostering an inclusive workplace where all employees are valued, respected and can bring their authentic selves to work. We prohibit Discrimination and Harassment of any kind and our policies promote equal employment opportunity for all employees and applicants, irrespective of, but not limited to their gender, gender identity, sex, sexual orientation, ethnicity, race, colour, national origin, age, religion, social status, mental or physical disabilities, veteran status etc. As a global Bank, we truly believe that inclusion and diversity of our teams is key to our success in serving our clients and the communities we operate in.

About Business line/Function :

The mission of RISK Markets and Financial Institutions (“RISK MFI”) is to provide Senior Management of the Group, of the RISK Function and of Global Markets (“GM”) with full transparency and dynamic analysis with respect to the market, counterparty, valuation and liquidity risks originated and managed by CIB GM, in order to assist them in their risk decision making.

The VALUATION ADJUSTMENTS department is within RISK MFI, the team that owns all responsibilities related to Independent Price Verification(IPV), Fair Value Reserves (FVR), Methodology Corrections (MC) & Prudent Value Adjustments (PVA) across all Global market trading activities and regions.

Job Title:

Quantitative Methodology Specialist

Date:

July 29th, 2024

Department:

RISK

Location:

Mumbai

Business Line / Function:

RISK MFI

Reports to:

(Direct)

ISPL CRO

Grade:

(if applicable)

AVP/VP

(Functional)

RISK MFI Valuation Adjustments

Number of Direct Reports:

NA

Directorship / Registration:

NA

Position Purpose

Fulfil the mission statement of RISK MFI Valuation Adjustments by taking ownership of the definition, maintenance, documentation, reference implementation, testing and release of methodologies used for Valuation adjustments covering Independent Price Verification (IPV), Fair Value Reserves, Prudent Value Adjustments among all asset classes. Contribute to maintaining the right and the related Valuation Input cartographies.

The role provides a unique opportunity to join the Valuation Adjustments team within the RISK MFI organization and to be directly involved in reinforcing the governance, controls and visibility of RISK MFI on all IPV and MC processes while actively participating in strengthening the industrial features of the valuation adjustment platform.

Valuation Adjustment team works within an Agile framework.

Responsibilities

Responsibilities of the Quantitative Methodology Specialist role

·       Lead or contribute to the maintenance and design of existing or new methodologies based on (1) knowledge and expertise on the underlying products; and (2) proper quantitative analysis using historical data and simulation.

·       Assess the impact of internally or externally driven updates to the methodology set and communicate with the relevant stakeholders (trading, quantitative research, risk managers, risk methodology approvers, audit, . ) before release.

·       Perform the calibration of Valuation Adjustments methodologies at the defined frequency leveraging large data sets of market information.

·       Continuously develop and improve a critical opinion about the data set used in the methodologies under responsibilities, exploring and integrating new sources and regularly assessing the quality of the existing set.

·       Manage and overview the computation, validation and reporting of monthly & quarterly VAs.

·       Analyze the monthly variations of VAs stocks from complex methodologies used for exotics products and communicate them to relevant stakeholders (Trading, Market Risk, Quantitative Research, Finance) across the relevant business lines (Credit, Rates & FX, Equities, Commodities).

·       Represent the team in the committees related to Valuation Adjustments

·       Lead small projects to improve the efficiency and reliability of the team processes, by developing automated solutions leveraging high industrialization standards, or integrating the methodologies under responsibility into IT platform in close collaboration with IT development and Digital teams.

Technical & Behavioral Competencies

–  Ability to gather, prioritize and integrate large amounts of information, to process and simplify it.

–  Ability to systematically produce relevant documents with accurate, precise and verified information.

–  Ability to act in advance of a future situation, to take control and initiatives to implement relevant actions in the short and long term.

–  Able to identify solutions to overcome obstacles and drive results to conclusion working autonomously and implementing work processes, ideas and solutions with tenacity.

–  Effectively deliver and adapt complex messages according to the targeted audience

–  Value and integrate client’s feedback to improve products, services and processes.

 

Skills Referential

  

–  Master’s degree in Finance, Applied Mathematics, Science or Engineering. Advanced degree or professional certifications like FRM or CFA are a plus.

  

–  7 to 12 years of working experience in a relevant financial market methodology field. A previous experience in Market Risk Management is an advantage.

  

–  Good computer programming skills. Knowledge of Python is required.

  

–  Good knowledge of Financial & Risk management concepts as well as derivatives products recommended.

    

Education Level:

Master Degree or equivalent

  

Experience Level

At least 7 years

  

Other/Specific Qualifications (if required)