GROUP BNP PARIBAS
Want to help shape the bank of tomorrow today?
How can the Bank leverage data to assess credit risk on its portfolio of existing and new clients ? Risk assessment encompasses various elements: how likely is it that a client will not be able to comply with the contractual requirements of his loan ? What will be the client’s outstanding balance in this situation ? What loss is the bank expected to suffer if a client is no longer able to repay a loan ? As a member of the RISK ERA Models team, you will join a team of experts whose goal is to answer these questions through the development of statistical or expert models.
By analyzing historical data, working together with the business lines, IT department, the modelling experts at BNP Paribas group and taking into account the remarks of supervisor representatives, the team creates tools that help the bank calculate the capital requirements for its credit exposure, the risk component of the credit price or that contribute to the approval process of a new credit.
Your personal tasks will be:

Designing and developing models for credit risk on the scope mainly of companies
Finding, managing and using the most appropriate data sources for modelling purposes
Working with expert colleagues and business representatives to examine the results and keep models grounded in reality
Documenting each step of the development and informing decision makers by presenting them options and results
Ensuring correct implementation of the tools (together with the IT department)
Continuously assessing models by means of back-testing
Answering specific, external requests regarding statistics related to credit risk assessment
Following-up evolutions in the regulation and in credit risk modelling best-practices