Business Overview:
One of RISK Markets & Financial Institutions (“RISK MFI”) core mission is to provide a dynamic analysis of the market, credit & counterparty, valuation and liquidity risks managed by the Global Markets (“GM”) division of the Corporate & Institutional Bank. This includes in particular to proactively identify, analyze and review market and counterparty risk exposures, to contribute to the definition of the risk measurement framework and to assist all levels of management on risk-taking decisions.
Within RISK MFI New-York, the Markets & Liquidity Risk team is responsible for:
- Quantification of market risk limits
- Detection and anticipation, monitoring, analysis, and opinion on all market risks from desks managed in NY (including risk wide measures such as VAR, stress tests and capital):
- Identify hidden risks and potential threats early, and perform in depth reviews with a view to recommend actions to mitigate them
- Ensure proper representation of risks for complex transactions requiring non-standard booking.
- Participate in the definition and assessment of the risk management framework for new trades/products/activities.
- Develop, compute, analyze and regularly update market and liquidity stress-testing scenarios.
- Ensure compliance with relevant regulations in the risk area
- Maintain strong understanding of all valuation and risk models (incl. VaR…), and their impact on capital, valuation and market risk sensitivities of the Business Line portfolios. Ensure VaR figures and their variations are commensurate with the portfolio composition and can be explained.
Candidate Success Factors:
Candidates are measured on the following four performance drivers, which will dictate how individual impact is considered on the Americas platform:
- Results and Impact
- Able to influence peers and team.
- Demonstrates good judgement when making decisions of high complexity and impact.
- Exercise appropriate autonomy in the execution and delivery of work.
- Responsible for driving outcomes, which have meaningful effect on team or department.
- Leadership and Collaboration:
- Creates trust with colleagues.
- Acts in leadership capacity for projects, processes, or programs.
- Client, Customer and Stakeholder Focus:
- Able to build relationships with a mix of colleagues and clients.
- Interacts regularly with management and department leaders.
- Demonstrates the ability to influence stakeholders at the team level.
- Compliance Culture and Conduct:
- Takes full responsibility for personal actions and demonstrates courage in facing problems and conflicts.
- Perceived as a person of high moral character; upholds corporate values and displays high ethical standards.
Responsibilities:
The candidate’s primary responsibility will be to comprehensively cover the Securitized activities, and as such performs the following missions:
Risk Analysis:
- Measure and Monitor risk factors inherent to the trading of Securitized instruments (market risk, legal risk, idiosyncratic risks as well as all the hurdles stemming from specific collateral & securitization structures including primary issuance process, among others).
- Development of monitoring tools and reporting to the Business and Senior Management.
- Conduct quantitative and qualitative risk analysis on securitized instruments (pre and post trade execution).
- Involvement in the decision making process by providing a formal RISK opinion, issuing risk recommendations and proposing risk mitigation strategies.
- Be proactive in daytoday assessment of positions, analyze large P/L, and provide independent analysis and quantification of existing and new risks.
- Develop and maintain a continuous and sound dialogue with the business line as well as other functions.
Risk Limits:
- Assist in the definition, review and implementation of limits and ensure they are well monitored and reported in the bank systems. This includes participating in developing tools for the Limits framework
Review the impact of new models on the book and analyze the results.
- Have a good understanding of the model assumption and their economical purpose.
- Tests and analysis of the impact on the valuation and risks of the books.
- Such changes coincide in general with system release requiring discussion with RISK MFI Quantitative Analysts, FO Research Team, Trading and IT.
Stress Testing:
- Develop and compute Stresstest scenarios and analyze the results.
- Contribute to the improvement of stress testing within Global Market & US local governance perimeters
Market and Parameter Monthly Review “MAP”, Reserves and Prudent Valuation
- Ensure the end of month valuations reviews “market parameters review, reserves and Prudent Valuations” remain exhaustive, robust and well documented.
- Ensure that updated and relevant reserves and Prudent Valuation methodologies are in place.
The successful applicant will also be encouraged and given the opportunity to expand quickly beyond the primary coverage described above, and deliver similar work for another trading desk currently under the coverage of the RISK MFI Market & Liquidity NY team.
Minimum Required Competencies and Qualifications
- Master’s degree in Finance or Economics or Engineering;
- 5 years+ of relevant professional experience in the field of market risk management, with strong knowledge on fundamental credit analysis and/or financial modelling skills gained from prior experience.
- Broad experience in Securitized markets: RMBS & CMBS (both Agency and Private Label), CLO
- Strong knowledge of securitization process (including primary) and associated trading strategies
- Understanding quantitative risk measures and related modeling / methodology
Preferred Competencies and Qualifications:
- Ability to easily expand onto another asset class is important; hence, relevant experience in another asset class (EQD, FX, Rates, etc…) beyond Securitized will be considered positively.
- Ability to understand, identify, and communicate key risks associated with a variety of processes and transaction structures.
- Excellent verbal and written communication skills.
- Ability to work effectively in a team environment.
- Languages: English mandatory.
- Skills: Python/Excel/VBA.
FINRA Registrations Required:
- Not Applicable
CFTC Swap Dealer Associated Person (if yes, NFA Swaps Proficiency Program is required):
- Not Applicable
SEC Security-Based Swap Dealer Associated Person:
- Not Applicable
The expected starting salary range for this position in New York is between $186,000 to $235,000 annually. The actual salary may vary based upon several factors including, but not limited to, relevant skills/experience, time in role, base salary of internal peers, prior performance, business line, and geographic/office location.
About BNP Paribas:
BNP Paribas is a leading bank in Europe with an international reach across the US, EMEA and APAC. It has a presence in 65 countries, with nearly 190,000 employees. In the United States, BNP Paribas has built a strong and diversified presence to support its client base. We continue to grow and strengthen our commitment to the US market through our Corporate & Institutional Banking activities. We are one of a few non-US banks to offer a full value chain for our clients, from trading to financing, and clearing and custody in the US with the international footprint and capacity to deliver both globally and locally. Leveraging the strength of our European roots, our network can support clients in virtually every region of the world, enabling more connectivity and efficiency wherever our clients conduct business. We take pride in our expertise and our ability to adapt while constantly looking ahead to create a more sustainable world.
The bank employs nearly 6,000 people and has a presence in the country since the late 1800s in major cities including New York, Jersey City, Chesterbrook, PA, San Francisco, Boston, Chicago, Denver and Washington, DC.
As an international company with a global footprint, the unique cultures and viewpoints of our team members are an integral part of the fabric of BNP Paribas. We are a company with a purpose – to be a responsible and sustainable global leader. We aim to create an environment where our employees feel empowered to drive change, make an impact and be true to themselves. We employ talented individuals from a wide variety of backgrounds, locally and globally, and are inspired by our employees who help us in cultivating a diverse, equitable and inclusive workplace through initiatives such as our Diversity, Equity & Inclusion (DEI) Leadership Forum and Employee Resource Group (ERG) communities. We strive to be a workplace where all team members can grow and thrive and offer robust training, development and mentoring opportunities to make that vision a reality. Our leaders are deeply committed to DEI and highly accessible to our employees, consistently soliciting feedback on how we can continue to support our employees to reach their highest potential.
BNP Paribas. The Bank for a Changing World – https://usa.bnpparibas/en/homepage/join-us/our-opportunities/
BNP Paribas is committed to providing a work environment that fosters diversity, inclusion, and equal employment opportunity without regard to race, color, gender, age, creed, sex, religion, national origin, disability (physical or mental), marital status, citizenship, ancestry, sexual orientation, gender identity and gender expression, or any other legally protected status.