About the job

    By integrating the MP Lisbon team, the Model Performance Analyst works in a best in class Model team and in an international and dynamic environment

    Your Main Activities Are

    Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation Contribute to the production of the backtesting ECB Templates Contribute to the production of the backtesting Shortcuts Participation to transversal projects related to credit risk models performance assessment Control and validation of GRR (Global Recovery Rate) spreadsheet Improvement of existing tools and processes Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting

    Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation

    Contribute to the production of the backtesting ECB Templates

    Contribute to the production of the backtesting Shortcuts

    Participation to transversal projects related to credit risk models performance assessment

    Control and validation of GRR (Global Recovery Rate) spreadsheet

    Improvement of existing tools and processes

    Ensure a robust permanent control framework to deliver in a timely manner, reliable and consistent backtesting

    Profile and Skills to Success

    Master’s Degree in Mathematics and Statistics
    Up to 2 years of relevant experience Fluent in English, both written and oral are mandatory Knowledge in Data Intelligence, Research and Quant Analytics
    IT Programs conception (SAS, SQL, R) Data Viz, Blending , Analytics (SAS) Credit risk within the bank industry Risk Management
    Basel regulation Skills Ability to develop and adapt a process
    Ability to collaborate / Teamwork
    Ability to deliver / Results driven
    Analytical Ability

    Master’s Degree in Mathematics and Statistics

    Up to 2 years of relevant experience

    Fluent in English, both written and oral are mandatory

    Knowledge in Data Intelligence, Research and Quant Analytics
    IT Programs conception (SAS, SQL, R) Data Viz, Blending , Analytics (SAS) Credit risk within the bank industry Risk Management
    Basel regulation

    Data Intelligence, Research and Quant Analytics
    IT Programs conception (SAS, SQL, R) Data Viz, Blending , Analytics (SAS) Credit risk within the bank industry Risk Management
    Basel regulation

    Data Intelligence, Research and Quant Analytics

    IT Programs conception (SAS, SQL, R)

    Data Viz, Blending , Analytics (SAS)

    Credit risk within the bank industry

    Risk Management

    Basel regulation

    Skills Ability to develop and adapt a process
    Ability to collaborate / Teamwork
    Ability to deliver / Results driven
    Analytical Ability

    Ability to develop and adapt a process
    Ability to collaborate / Teamwork
    Ability to deliver / Results driven
    Analytical Ability

    Ability to develop and adapt a process

    Ability to collaborate / Teamwork

    Ability to deliver / Results driven

    Analytical Ability

    About the Team

    Within the RISK ERA Models department, the Model Performance (MP) team develops and maintains the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF) including the relevant ad-hoc criteria measuring the performance The team carries out many other studies and participates in various transverse projects. Due to growing demands from European regulator/supervisor, the model performance team is carrying out studies that are becoming increasingly important Production of Retail and Non-retail (Corporate and local models) Back testings on PD (Probability of Default), EAD/CCF (Exposure At Default) and LGD (Loss given default) parameters: Data collection, Database construction, Back testing production, Report preparation Production of the Back testing ECB Templates on PD, EAD/CCF, LGD credit risk parameters Production of shortcuts backtesting (only on non Retail perimeter) Participation to transversal projects related to credit risk models performance assessment : such as Backtesting standards redaction, Industrialization of data collection tool (CRDC SAS, GRREAT, Remediation project…) Control and validation of GRR (Global Recovery Rate) spreadsheet: Collection of information, Data quality control- Monitoring Improvement of existing tools and processes: Ensure the continuous improvement of existing programs and processes, Document the work and methodologies used Ensure adequate documentation in line with Group Documentation Standards

    Within the RISK ERA Models department, the Model Performance (MP) team develops and maintains the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF) including the relevant ad-hoc criteria measuring the performance

    The team carries out many other studies and participates in various transverse projects.

    Due to growing demands from European regulator/supervisor, the model performance team is carrying out studies that are becoming increasingly important

    Production of Retail and Non-retail (Corporate and local models) Back testings on PD (Probability of Default), EAD/CCF (Exposure At Default) and LGD (Loss given default) parameters: Data collection, Database construction, Back testing production, Report preparation

    Production of the Back testing ECB Templates on PD, EAD/CCF, LGD credit risk parameters

    Production of shortcuts backtesting (only on non Retail perimeter)

    Participation to transversal projects related to credit risk models performance assessment : such as Backtesting standards redaction, Industrialization of data collection tool (CRDC SAS, GRREAT, Remediation project…)

    Control and validation of GRR (Global Recovery Rate) spreadsheet: Collection of information, Data quality control- Monitoring

    Improvement of existing tools and processes: Ensure the continuous improvement of existing programs and processes, Document the work and methodologies used

    Ensure adequate documentation in line with Group Documentation Standards

    #LI-Hybrid

    Why joining BNP Paribas?

    · Leading banking institution

    BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe’s banking history. It has a presence in 65 countries, with around 190 000 Employees – including more than 145 000 in Europe.

    · Our presence in Portugal

    Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 7.100 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

    · International reach

    Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients with financing, investment, savings and protection solutions that help make their projects a success. BNP Paribas holds key positions in its three core operating divisions:

    Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines; Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services; Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional clients.

    Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines;

    Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services;

    Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional clients.

    · Diversity and Inclusion commitment

    BNP Paribas is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively 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/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.

    · Commitment towards work/life balance

    At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.

    · Remote Working Conditions

    At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.

    To find out more on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal

    • Please note that only applications submitted in English will be considered.

    • In case you are selected for this role, further documentation will be requested to support your hiring process.

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    Empresa
    bnpparibas
    Localização
    lisboa pt-11-lisbon
    Categorias
    full-time


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