Risk SIGMA Quantitative Analyst Graduate Programme London 2024

BNP Paribas is a leading bank in Europe with an international reach. It operates in 68 countries and has more than 193,000 employees, including nearly 148,000 in Europe. The Group has key positions in its three main activities: Domestic Markets and International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors.

The Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporates and institutional clients) to realise their projects through solutions spanning financing, investment, savings and protection insurance. In Europe, the Group has four domestic markets (Belgium, France, Italy and Luxembourg) and BNP Paribas Personal Finance is the European leader in consumer lending. BNP Paribas is rolling out its integrated retail-banking model in Mediterranean countries, in Turkey, in Eastern Europe and a large network in the western part of the United States. In its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific.

As one of the world’s pre-eminent banking groups – and the first ever French bank to set down roots in the UK in 1867 – the breadth and depth of our presence across the country means BNP Paribas is able provide UK companies and investors access to a full global suite of products and solutions in Europe and worldwide. This, combined with our long-term commitment to the UK, is what truly distinguishes BNP Paribas from other international banks operating in the country.

Business area/dept overview

SIGMA is the quantitative risk modelling team with overall responsibility for market and counterparty credit risk models within BNP Paribas. It also maintains the internal model methodology for operational risk. SIGMA is organized in four streams, each responsible for a given asset class (Interest Rate / FX, Credit / Repo, Equity / Commodity) and transversal aspects of risk methodologies (Cross-Product). The team is present in several locations: London, Paris and Lisbon.

Organisationally, SIGMA is embedded in the RISK Enterprise Risk Architecture (ERA) Models group which itself is part of RISK Enterprise Risk Management (ERM).

Purpose & scope of role

SIGMA services the business activities within the Risk function’s scope and provides Risk and the General Management with key risk metrics for their decision making process, by researching and adopting best practices for measuring and monitoring the risks in scope, working in close partnership with Risk Systems to deliver solutions to users. The team’s responsibility also includes any other market and investment related risks, including contributions to CVA (xVA) and capital related measures. This mission requires that the team:

• Lead risk methodology projects, ensuring the requirements are met and facilitating good communication between SIGMA, Risk Systems and the risk analysts as well as communication with Front Office research teams and other project stakeholders.
• Investigate, analyse and design methodologies respecting the aims of accurate capture of risk and ease of use and understanding by risk managers.
• Design and implement the calibration and backtesting methodologies
• Working in close cooperation with other RISK teams, analyse the input data required for the methodology and ensure this data can be sourced and loaded into the system.
• Design, develop and test the (prototype or production) code required to implement the methodology in the risk systems.

Key responsibilities of role

A diverse and dynamic team, working in SIGMA you should expect:

• to learn from experienced quantitative risk modelling professionals within a large team with a flat hierarchical structure;
• to gain experience in quantitative finance modelling and derivative pricing models, including for quantification of market and counterparty risk;
• to have exposure to different asset classes: interest rates, inflation, foreign exchange, equity, commodities, credit and repos;
• to develop skills in the design and implementation of quantitative models using various programming languages such as C# and Python;
• to gain awareness and understanding of regulatory requirements for banks, both current and upcoming such as FRTB;
• to engage within the bank’s Corporate and Social Responsibilities, volunteering and other social network initiatives.

Experience, qualifications & competencies

• Strong academic background with a degree in a quantitative discipline such as (but not limited to) mathematics, physics, engineering, or quantitative finance;
• Good communication skills, both written and verbal;
• Curious mind-set;
• Good attention to detail;
• Good team player;
• Fluent in English.

Conduct

• Be a role model, supporting and fostering a culture of good conduct
• Demonstrate proactivity, transparency and accountability for identifying and managing conduct risks
• Consider the implications of your actions on colleagues, partners and clients before making decisions, and escalate issues to your manager when unsure.