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Valuation Adjustments Methodologies Quant – IPV and MC Methodologies – Lead – Vice President

4 months ago


London, United Kingdom BNP Paribas Full time
BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors.

BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.

Business Area/Dept Overview

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 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 organisation 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.

Main responsibilities

Coordinate the methodology work on IPV and MC methodologies of all teams based in Europe.
Responsible for owning, maintaining and enhancing the current stock of methodologies on IPV and MC European stock of IPV and MC methodologies and their documentation following group established documentation guidelines
Provide decision-making analyses and information in discussions about IPV and MC methodology decisions with key stakeholders (from Trading, Quant Research, Market Risk Officers and Financial Control).
Provide relevant quantitative facts based on data to review and challenge current IPV and MC methodologies.

Contribute to the global methodology work prioritization for IPV and regularly review them with stakeholders.
Contribute to the maintenance and enhancement of the current stock of methodologies on FVR, MC, IPV and PVA.
Build trustful relationships with key partners in RISK as well as the business. Act as a point of contact for IPV and MC topics for main stakeholders.
Maintain and develop a deep knowledge of the business lines within scope, as well risk management practices.

Accountable for the calibration of IPV and MC methodologies at the appropriate frequency.
Accountable for the analysis and communication of the variations of IPV and MC stocks on a monthly and quarterly basis to relevant stakeholders.
Help and contribute to the tasks of other team members and data analysts.
Leverage feedback received and constructively challenge own responsibilities to seek continuous improvement.
Facilitate information and responsibilities sharing with other teams to consolidate RISK MFI’s organizational knowledge.
Be a role model, supporting and fostering a culture of good conduct.
Consider the implications of own actions on colleagues, partners and clients before making decisions, and escalate issues to own manager when unsure.

KNOWLEDGE, SKILLS & EXPERIENCE

Essential

· A proven record of hands-on accomplishment in the financial industry in quantitative or methodological fields.

· Extensive experience in modelling the pricing of financial market products from securities to derivatives.

· Quantitative fundamentals from relevant qualification. A minimum of a Master’s degree from a well-recognised university in Financial Engineering, Maths, Sciences, or a PhD or related discipline is expected.

· Ability to effectively deliver and adapt complex messages according to the targeted audience

· Ability to gather, prioritise and integrate large amounts of information, to process and simplify it.

· Ability to lead development of new ideas that add value to the company. Open to using different forms of technology.

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

· Aims at exceeding clients’ expectations, by seeking tailored solutions to their specific needs.

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

· Ability to persuade, influence, convince and engage senior stakeholders to take action or support an issue/objective, while taking into account the goals of the organisation.

Preferred

· Demonstrable and hands-on experience with Python or more advanced coding languages.

EQUAL OPPORTUNITIES

BNP Paribas promotes equality of opportunity and is committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity, race, religion or belief, sex or sexual orientation.

As an employee with BNP Paribas London Branch, we want to make sure that you are rewarded for your commitment. As such, you will be entitled to our award winning benefits package which includes a generous holiday allowance of at least 34 days (including bank holidays), a non-contributory pension of 12%, private healthcare, GP service and dental cover all as standard, along with a number of personal insurances such as income protection, life assurance and personal accident insurance. We believe in ensuring all our employees have a positive work life balance so in addition you will also have access to a variety of flexible lifestyle benefits such as cycle to work and green car leasing schemes, season ticket loans and reduced cinema and gym membership to name a few.
PRIMARY LOCATION
GB-ENG-London
JOB TYPE
Standard / Permanent
JOB
RISK
EDUCATION LEVEL
Bachelor Degree or equivalent (>= 3 years)
SCHEDULE
Full-time
REFERENCE
30336
APPLY
(REF: 30336)
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