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 24x7 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.

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:

Systems InteGrated Methods and Analytics (SIGMA) is a team of specialised risk officers with global accountability for the counterparty, market and liquidity risk methodologies within the Bank's RISK function. It also maintains the internal model methodology for operational risk. Organisationally, it is embedded in the RISK Global Framework department and in particular its RISK Models & Regulatory group.

SIGMA's mission is to develop and continually improve the group's risk modelling & measurement, analysis and backtesting capabilities. SIGMA is organised in streams, each responsible for a given asset class (IRFX, Credit / Repo, Equity / Commodity) or transversal aspects of risk methods (Cross-Product), as well as a quantitative development / architecture stream. The team's remit includes 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.

Job Title: Vice President - Risk Models & Regulatory | Location: Mumbai

Department: SIGMA | Business Line / Function: RISK

Reports to: Head of SIGMA

Responsibilities

Working in close partnership with other RISK teams and stakeholders (systems, reporting, regulatory, Front Office), the successful candidate will contribute to SIGMA's mission, taking responsibilities in some of the following areas:

Participate in methodology projects, gathering and documenting requirements, considering stakeholder interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance processes.

Investigate, analyze and design risk methods and models, respecting the aims of accurately capturing risks whilst considering system or other environmental constraints.

Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for optimization and promotion of the code to the production environment.

Ensure that all methodologies, tools, processes and procedures are documented to a high standard satisfying both internal and regulatory expectations, and that any methodological changes and corresponding decision of governing bodies are promptly reflected in relevant documentation.

Contribute to the quality assurance processes surrounding risk measurement including back testing and VaR Adequacy (P&L Explain) process.

Cooperate with the RISK model validation teams in the review and approval of risk models.

Support regulatory interactions, participating in industry working groups and Quantitative Impact Studies (QIS).

In a transactional or advisory capacity, assist risk managers and Front Office in the prompt, accurate and astute risk assessment of deals, where the standard and systematic methods may not be applicable or appropriate.

What we offer

Successful candidate will have the opportunity to 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. As such candidate will also have the opportunity to contribute to shaping the Bank's and the industry's future of internal models and risk management. SIGMA participates in Risk Model Fundamentals and Research Lab and successful candidates, once integrated into the team, will be given an opportunity and an option to participate in Lab projects. The results from the Lab and SIGMA in general are regularly presented at major international conferences. Members of SIGMA also publish in professional refereed journals.

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. As such, candidate will be given the opportunity to present their work to the wider audience, providing a platform for future career development within the Bank.

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.

Competencies

Candidates with both industry background and academic research background are welcome.

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 or quantitative finance. Both Masters and Ph.Ds. are welcome.

The Department conducts business in English, thus a good command of both verbal and written English is essential.

Further requirements are specified separately for experienced candidates with financial industry background and for experienced candidates with academic research background:

Experienced candidates with financial industry background are welcome from banks, investment companies and consultancies:

A strong interest and familiarity with risk management best practices, financial markets and economic developments.

Experience in a quantitative finance environment, preferably in a market risk or counterparty risk modelling capacity; other backgrounds (e.g. Front Office quantitative research, model validation, hedge funds) are also welcome.

Sound understanding of stochastic processes and their application to risk factor simulations.

A practical knowledge of derivatives, their risk drivers and the models used to price them; exposure to at least one of the following asset classes: credit, repo, IR/FX, equity, commodities

Design and implementation of quantitative models, preferably using C# or C++ in a source-controlled environment.

The role will expose the candidate to a wide range of professionals within the bank. Therefore, communication skills, both written and verbal, play an essential part of the day-to-day role. Previous experience in interacting with Front Office, validation functions and regulatory or supervisory bodies is a plus.

A good understanding and awareness of the regulatory framework for banks is desirable.

Candidates should demonstrate proven record of research and academic excellence;

Strong Written and verbal communication skills. Previous experience research is a plus.

Reasonable coding skills are expected.

In addition, a candidate from any background will have the ability to:

Grasp the intricacies of governance-related processes and procedures.

Behavioral Skills:

Ability to collaborate / Teamwork

Ability to deliver / Results driven

Attention to detail / rigor

Transversal Skills:

Analytical Ability

Ability to develop and adapt a process

Ability to manage a project

Education Level: Master Degree or equivalent

Experience Level : At least 12 years

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