Global Credit Model Performance

About the Company - BNP Paribas Group is the top bank in the European Union and a major international banking establishment.
It has close to 185,000 employees in 65 countries.
In Spain we are more than 5,100 employees within 12 business lines.
RISK is an integrated and independent control function of the BNP Paribas Group.
It is the second line of defense on the risk management activities of the Group which are under its direct responsibilities, including credit and counterparty risk, market risk, funding and liquidity risk, interest rate and foreign exchange risks in the banking book, insurance risk, operational risk, and environmental and social risks.
RISK aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group's Risk Appetite and its strategy.
RISK Iberian Hub Madrid is a transversal platform servicing the RISK Function by covering added-value activities around credit risk, market risk, operational risk and data protection.
Offering a wide range of services to RISK teams, from consulting to cyber security going through data analysis, modelling or artificial intelligence.
About the Role - You will join the Model Performance team, which is part of RISK Models & Regulatory department responsible of the development, backtesting, strategy of pillar 1 models (Market, Counterparty and Credit Risk) and regulatory analysis.
At the core of the Model Performance team, there is the regulatory need to monitor the performance of credit risk models that are used to compute the Risk Weighted Assets of the Bank, and finally the regulatory capital.
The responsibility of this team includes:
the annual backtesting of the bigger scope of credit risk pillar 1 models of the bank, from Retail to Large Corporate counterparties.
the development of an industrialized tool to produce the backtesting results for all credit risk parameters PD/LGD/CCF and used by all IRBA entities within the group.
The ownership of climate risk analysis for pillar 1 models.
ECAF monitoring.
The contribution to securitization operations.
Responsibilities - As part of the Model Performance team, you will put in practice your quantitative and coding skills both in SAS and Python as well as your knowledge on the banking regulation.
Your mission will include the following tasks:
Development of industrialized and harmonized model performance and risk parameters statistical solutions to be used by all IRBA entities.
Backtesting analysis of highly complex credit risk models PD/LGD/CCF.
Production of ad-hoc statistical analysis.
Collection of different data sources to define Reference Data Sets to be used for backtesting analysis, including data quality assessment.
Production of overrides monitoring analysis.
Production of climate risk analysis.
Contribution to Internal Model Investigation from the ECB and French banking regulator.
Qualifications - Master's Degree in Mathematics and/or Statistics, At least 2 years of experience, Advanced level of English, both oral and written, Knowledge in Data Viz (Power BI), Blending and Analytics, IT Programs Conception (SAS, SQL, Python and R), Ability to deliver / results driven, Critical thinking, Ability to develop and adapt a process, Analytical Ability Required Skills Master's Degree in Mathematics and/or Statistics At least 2 years of experience Advanced level of English, both oral and written Knowledge in Data Viz (Power BI), Blending and Analytics IT Programs Conception (SAS, SQL, Python and R) Ability to deliver / results driven Critical thinking Ability to develop and adapt a process Analytical Ability Preferred Skills Master's Degree in Mathematics and/or Statistics At least 2 years of experience Advanced level of English, both oral and written Knowledge in Data Viz (Power BI), Blending and Analytics IT Programs Conception (SAS, SQL, Python and R) Ability to deliver / results driven Critical thinking Ability to develop and adapt a process Analytical Ability Pay range and compensation package - Pay range or salary or compensation Equal Opportunity Statement - BNP Paribas Group in Spain 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.