Senior Model Validation Quant recruitment
Our organisation
The position is within the risk department of BNP Paribas Fortis. While being totally independent, the department has close links to business lines, mainly to capital markets trading activities. The department’s responsibilities are identifying, measuring, analysing, controlling and reporting market, liquidity and credit risks related to capital markets activities, as well as advising all levels of management on risk taking decisions. In this respect, the department is involved in economic valuation and in particular reviews and approves the models used for valuation and risk calculations.
The team, in which the position has been opened, covers all product lines and acts as an independent analytic and methodology control function reviewing those mainly market and counterparty credit risk methodologies that have been developed within the risk department. Risk methodologies developed outside the risk department, i.e. insurance models and valuation models, are excluded from the scope of reviews. The team checks the consistency of sensitivity and risk indicators across asset classes and as a second level of control verifies that all relevant risk factors are well taken into account at the risk management level.
Your function
This position allows a transversal view on market, liquidity and counterparty risk methodology issues across asset classes. The person will report to the head of the methodology review team. The person will work directly with the different risk methodology developer and risk systems teams as well as with the different portfolio counterparties analyses and front office research teams in specific cases.
The position requires both an interest in sophisticated quantitative analyses as well as in audit style investigations. The person is required to have a critical approach to assess the overall adequacy of the proposed methodology and to identify all aspects that may require further investigation. Furthermore, the person is required to have a strong quantitative background to be able to develop alternative approaches and to carry out deeper investigations and impact studies efficiently.
As of the other team members, the main tasks of the successful candidate will be:
- Pre-analysis of the methodology: On a theoretical basis the person will investigate the proposed internal methodologies that have been developed to capture and manage risks. As part of the investigation, he/she will need to make link with other internal and external models, identify the various model assumptions and assess which aspects of the proposed methodology may require deeper analysis. After the initial methodology review, the person must have a view on the model drawbacks and be able to express his/her view upon request.
- Model prototyping: The person needs to implement tools and models in a C++ library by finding the right balance between coding efficiency and reusability. The implementation is not the purpose of the methodology reviews. Therefore, in the course of an implementation the person should strictly follow the initial goal and he/she should prepare an initial design of the architecture before any material code generation.
- Quantitative and qualitative analyses: The person will carry out impact studies and scenario analyses. He/she will assess the appropriateness of the models and their key assumptions. The requirements of the analyses should be assessed by the person in advance, contact should be taken with the stakeholders and the collection of the required inputs should be scheduled a priori. The person must be pragmatic with the analyses and be able to use appropriate shortcuts where allowed by limited materiality.
- Methodology review delivery: The person will prepare comprehensive reports on all his/her findings. The reports should be clear and well structured. It should be clear from the document what the authors’ contribution and opinion are. The prepared notes should communicate a clear message highlighting the materiality and criticality of the various points.
- Project management: As each team member, the person will participate in the management of the team’s projects. Both on team and on individual levels he/she will need to ensure that the allocated budget of resources is efficiently used. The person must be able to raise an issue or make an action when required. He/she will need to give regular update about the project status to higher level.
Your profile
The position requires a combination of various soft and hard skills. The following qualities are required to fulfil the position:
- Strong quantitative background, owning an MSc or PhD degree in a quantitative subject,
- A minimum of 5-year experience in developing or validating financial models related to capital markets either on the front office side or on the risk side,
- In-depth knowledge of capital markets: how the markets operate, what the products are, what the main risk drivers are, how the risks are represented and modelled in the market, and what the shortcomings of the industry standards are,
- Strong understanding of stochastic processes and derivatives pricing techniques, familiarity with several underlying asset price models and with various numerical techniques,
- Advanced object oriented programming skills in C++,
- Experience with model validation techniques and processes, ability to challenge the proposed methodologies and to provide alternative solutions,
- Capacity to master the methodologies in the perimeter of the team in order to know when, where and how to interact,
- Validation skills to valorise new ideas, both supportive and critical, and to examine problems from several different points of view,
- Result orientation, managing the time efficiently focusing on the mission and providing the highest quality work and precision under the constraint of given resources,
- Eagerness to take ownership of projects and be autonomous in finding out the next steps,
- Strong curiosity of the field, proactively seeking opportunity of learning and progress, and staying up-to-date with the newest developments in the field by following seminars and industry discussions and by reading the relevant scientific and business literature,
- Networking skills to get access to the information,
- Good communication skills in English to convey clearly his/her ideas in front of various audiences, and concise writing skills.
We offer
- A challenging position in a team of experts on BNP Paribas Group level, located in Brussels, Belgium
- Excellent career opportunities
Interested ?
When you are interested, please do not hesitate to apply online.