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 71 countries, with 200 000 Employees – including more than 150 000 in Europe and 6 000 in Portugal alone.
BNP Paribas is present in Portugal since 1985, having been one of the first foreign banks to operate in the country. Today, the Group has several entities operating directly in this territory, offering a wide range of integrated financial solutions to support its clients and their businesses.
Thanks to its international presence and regular and close collaboration among its businesses, BNP Paribas has the resources to support all clients - individuals, entrepreneurs, SMEs, large corporates, institutional investors and community organisations - 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: Domestic Markets and International Financial Services for retail banking and specialised financial services, and Corporate & Institutional Banking for corporate and institutional clients.
BNP PARIBAS Group Finance, RISK, and ALM Treasury, have set-up a shared team in charge of the Group stress testing, the financial planning and the financial synthesis.
The team named STFS, for Stress Testing and Financial Synthesis, coordinates the strengthening of BNP Paribas’ Stress-Testing (S/T) and planning capabilities so as to better serve Business Lines, Legal Entities and Group needs and meet supervisory requirement on these matters, and in a cost-efficient manner.
To that effect, STFS aims at building a flexible, industrialized, central utility accessible by BNP Paribas’ Business Lines and Entities (B/E) for their local needs and their contribution to Group exercises. STFS offers an integrated S/T service to B/Es to support them in capitalizing on the shared framework for their local needs.
STFS is also responsible for executing all Group-wide, comprehensive stress testing exercises, whether regulatory or internal
STFS supports B/E’s S/T initiatives to ensure consistency with group standards while respecting local regulatory and supervisory requests
Within the STFS platform, Stress-Testing Methodologies & Models (STMM), is responsible for the S/T models and methodologies for all major drivers impacting P&L, liquidity and capital planning globally for the Bank. The team is also responsible for coordinating the development and implementation of models and methodologies that combine different risks (e.g. market risk, operational risk, credit risk, liquidity risk…). It ensures the consistency and robustness of S/T models and methodologies by developing models as a transversal expertise center for the Group liaising with the different topics experts in RISK. The team is composed of quantitative analysts and data scientists with a clear orientation towards innovation. Its transversal positioning also brings the opportunity to work with stakeholders in many regions and get an understanding of a variety of business of the bank.
Within STMM, one team is dedicated to credit risk. This team covers the models and methodologies used for the projection of credit risk parameters for stress testing and IFRS 9. The team expertise are related to
Quantitative analysis: portfolio modelling, rating migration and LGD models
Time series modelling for the anticipation of risk parameters
Reporting and analysis of stress testing outcomes
ROLE AND RESPONSIBILITIES
The team is mostly dedicated to credit and works in a one-team manner with the credit team based in Paris. It is composed by data scientists/analysts with the following areas of expertise:
Carrying out stress test exercise for internal and Regulatory purposes: stress test exercises are relying on macroeconomic parameter forecasts. These parameters have impacts on forecasted default rates and credit risk cycle. You will be in charge of calculating and computing these parameters and then feeding the stress test engine
Analyzing and producing automatic reporting for quarterly stress test exercise and provide stress test results for local regulators
Carrying out IFRS9 quarterly exercise: updating IFRS9 parameters according to macroeconomic scenario, ensuring consistency between stress test and IFRS9’s models, sensitivity analysis, rationalization effect measurement …
Data science: treatment of large dataset in a big data environment, using Python/R code. Data analysis and treatment on both input parameters (including loan and client level portfolio data) and on model generated data
Some projects are dedicated to transversal Stress Test themes like Operational Risk Stress Test, Market Risk Stress Test and Securitization. The functional link is ensured with the STMM Transversal team in Paris
The STMM team in Lisbon is looking for its team lead. Whilst the role may involve all aspects of the team-wide responsibilities, the candidate will specifically be responsible for:
Supporting team and Manager in daily operational tasks
Maintaining expert level of technical knowledge appropriate to support team and senior management in effective judgment in decision making
Leading and motivating a team in line with STFS standards
Ensuring respect of appropriate procedures, standards, security and controls for the development and support
Documenting key procedures and controls
Carrying out any other task associated with the role as reasonably requested
The candidate will be reporting to the head of STFS Lisbon team
What we offer:
Join a multi-disciplinary team of highly qualified professionals in stress testing and provisioning
Be in a transversal position and widely exposed to worldwide contacts with many opportunities for professional development and career advancement
Develop business competences (Corporate Banking, Retail Banking …) in line with IFRS9 and stress testing
Minimum of 5 years of successful experience in Credit Risk
Strong academic background, with at minimum a Master degree in mathematics, econometrics or statistics
Strong background in programming with ability to use at least two of the following tools: Python, R, VBA
Knowledge of credit risk management principles and BCBS regulations. Understanding of Management control principles would be much appreciated
Languages: English fluent
Be a team player
Creativity & Innovation skills; Be a problem solver, Result oriented
Autonomy & Adaptability
Reliability and sense of precision
This 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 in the day-to-day role.
Very strong ethics standards
The candidate should be available for periodic training abroad (short term in Paris)
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.
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, 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.