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SIGMA is the quantitative risk modelling team with responsibility for market and counterparty credit risk models within BNP Paribas. We also maintain the internal model methodology for operational risk. The team is organized into four streams, each responsible for a given asset class (Interest Rate/FX, Credit/Repo, Equity/Commodity) and transversal aspects of risk methodologies (Cross-Product). SIGMA is embedded in the RISK Enterprise Risk Architecture (ERA) Models group, which itself is part of RISK Enterprise Risk Management (ERM).
Overall, RISK is a fully independent function whose mission is to advise the bank’s top management on risk appetite and risk anticipation. We provide fast, reliable information about risk profile and offer high quality risk measurement/quantification and risk management expertise to the group’s stakeholders. Become a part of a well-developed risk management culture focused on long-term vision, committed management, and strong and independent organisation.
What you’ll get to do
Be a part of a diverse, dynamic SIGMA team that services business activities within the Risk function’s scope and provides Risk and General Management with key risk metrics for their decision-making process. Here are some additional things you’ll be doing on the SIGMA team as a Qualitative Analyst candidate:
- Lead risk methodology projects, ensuring the requirements are met and facilitating good communication between SIGMA, Risk Systems, and 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 back testing methodologies
- Work in close cooperation with other RISK teams, analyse the input data required for methodology, and ensure data can be sourced and loaded into the system
- Design, develop, and test the prototype or production code required to implement the methodology in risk systems
What we’re looking for
Individuals motivated to make quantitative data-driven decisions, work in a team environment, and contribute both autonomously and collaboratively. Here are some additional things we’re looking for from our graduate candidates:
- Strong academic background with a degree in a quantitative discipline such as (but not limited to) mathematics, physics, engineering, or quantitative finance
- Willingness to learn from experienced quantitative risk modelling professionals
- Gain experience in quantitative finance modelling and derivative pricing models, including for quantification of Market and Counterparty Risk
- Be exposed to different asset classes (interest rates, inflation, foreign exchange, equity, commodities, credit, and repos)
- Develop skills in the design and implementation of quantitative models using various programming languages (C# and Python)
- Gain awareness and understanding of regulatory requirements for banks, both current and upcoming
- Keen eye for accuracy and attention to detail
- Fluent in English
Code of 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
Who are we?
We’re one of the world’s leading investment banks, also known as ‘the bank for a changing world’. Being recognized as the World’s Best Bank for Corporate Responsibility (2019) by Euromoney magazine, reflects our commitment to financing the economy in an ethical manner, developing and engaging our people, being an agent for positive impact on society and for combating climate change. We contribute to the real economy by providing world-class solutions to a wide range of clients, including individuals, community associations, entrepreneurs, SMEs, corporate clients and institutional investors. We’re also home to more than 193,000 employees across 68 countries. As such, we take great pride in fostering an open, inclusive, and collaborative environment, where all are made to feel welcome from day one.
