Model Risk Analyst (H/F) recruitment

{i}BGL BNP Paribas{/i}{i} has been part of the BNP Paribas group, the European leader in banking and financial services, since May 2009. {/i}
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{i}With BGL BNP Paribas, the BNP Paribas group is one of Luxembourg's leading employers and the largest of all in the financial sector. {/i}
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{i}BGL BNP Paribas{/i}{i} holds a leading place on the national market and serves clients across the Grande Région that also includes neighbouring areas of other countries. {/i}
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{i}Operating in the fields of Retail Banking, Investment Solutions and Corporate Investment Banking, BGL BNP Paribas offers a particularly broad range of products and services to meet the needs of an equally wide range of individuals and professionals, private banking clients and businesses. {/i}
{i}Deeply rooted in Luxembourg's economic and social environment with 38 branches serving all parts of the country, BGL BNP Paribas is an active sponsor of sporting and cultural life, and is firmly committed to the principles of sustainability as a responsible corporate citizen. {/i}
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As part of its development strategy, our Business Line Group Risk Management is recruiting a:
Model Risk Analyst (M/F)

The mission of Risk-Investment Markets is to provide Senior Management of the Group, of the Operating Divisions, and of GRM with full transparency and dynamic analysis of the risks and clients managed by CIB, as per the scope detailed below.

The scope of Risk-IM is:
§ On Market Liquidity risks: it is Group-wide. Risk-IM comprehensively covers the CIB capital markets activities and ALM Treasury
§ On Counterparty risks: it is Group-wide. Risk-IM covers all counterparty risks arising from derivative and repo transactions,
§ On Credit risks: credit analysis and approval for all Financial Institutions, Sovereigns, Wealth Management clients and other IS private clients,

Risk-IM 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.

Your Mission:

In order to satisfy the job position requirements, you will assume the following responsibilities:

§ Review the methodologies used/developed by the Business Line, in order to assess the overall quality and suitability
§ Check (and regularly review) that assumptions, parameters and reserves are still in line with market behavior and present level of knowledge shared by other financial institutions
§ Identify and document the model limitations
§ If needed, propose improvements to existing models or the implementation of alternative models
§ Perform some quantitative tests/controls in order to assess model robustness and reliability, including consistency checking, re-computation, back-testing, stress-testing, etc ...
§ Produce a review documentation describing the methodology, the controls performed, the findings and recommendations and providing an overall opinion over the suitability and quality of the model
§ Prepare regular follow-up meetings with the team as well as with the Business management
§ Prepare reports to Committee members and General management according to a format and a frequency to be defined.

Skills

Your profile:

Education:
§ Financial or Engineering academic background with specific expertise in Risk Management

Experience:
§ Candidates should have at least 3 years experience with ALM including financial modeling and using risk rate quantification models.

Soft skills:
§ Clear analytical and synthetic mind,
§ Ability to challenge the Business Line
§ Strong interpersonal and communication skills
§ Ability to work within a team environment
§ Written and verbal communication is key for this function

Technical skills:
§ Solid knowledge of risk management concepts
§ Good knowledge of financial products (in particular interest and equity derivatives, including structured complex products) as well as classical risk indicators
§ Solid technical skills, with knowledge of Microsoft Excel and Access (including VBA) are required

Language skills: Fluency in French and in English

You have an interest in this position? You can apply directly via our career website www.bnpparibas.lu,