MISSION:

The team provides RISK and the General Management with key risk metrics for their decision making process, by developing Global Credit models and related methodologies to measure and monitor credit risk on CIB portfolios, working in close partnership with Credit Officers, Front Office and IT teams. Global Credit models estimate IRB credit risk parameters - PD, LGD and CCF - used for regulatory capital computation, risk management, also impacting risk pricing, stress testing and IFRS9 impairment.

RESPONSIBILITIES:

Your Main Activities Are

• Develop Global Credit Models and related quantitative methodologies used for the Bank’s rating systems and IRB credit risk parameters estimation – PD, LGD and CCF on CIB portfolios:

Contribute to the development of new methodologies, in accordance with the team’s priorities, under general guidance from the team’s senior members
Use best practices and knowledge of internal and external techniques to improve models and processes
Establish relationships with the front office, credit officers and other stakeholders, contribute to the cross-functional workshops and projects
Perform the required technical analysis related to the model development phase using specialised domain knowledge and developed technical expertise
Assess the related impacts on the Bank’s RWA and risk management framework
Ensure compliance with related regulatory obligations and internal modelling standards as well as consistency with existing methodologies
Prepare the related modelling documentation

• Contribute to the BAU tasks of the team including:

Methodology support for Credit Officers and Front Office
On-going improvement of existing tools and processes
Methodology research on ad-hoc initiatives beyond the team’s day-to-day projects

• Cooperate with internal and external auditors, facilitating the review process:

Respond to requests from the Risk Independent Review team, internal auditors and regulators during model reviews and missions
Perform related ad-hoc analysis and prepare the corresponding documentation

REQUIREMENTS:

Languages:

• English:Fluent

SKILLS:

Technical:

• A strong academic background with a Masters in a quantitative field (e.g. Statistics or Econometrics)
• Significant experience working on credit risk modelling projects, in an IRB or IFRS9 context
• Detailed knowledge of data processing and analysis using a variety of statistical techniques in SAS, Python or R
• Good working knowledge of SAS
• Good working knowledge of risk measurement and management concepts
• Good stakeholders management skills
• Excellent communication skills, both written and verbal

Trasversal & Behavioral:

• Attention to detail/rigor
• Ability to deliver/Results driven
• Analytical Ability

BENEFITS:

• Training programs, career plans and internal mobility opportunities, national and international thanks to our presence in different countries.
• Diversity and Inclusion Committee that ensures an inclusive work environment. In recent years, several employee communities have been created to organize diversity and inclusion awareness actions (PRIDE, We Generations and Mix City).
• Corporate volunteering program (1 Million Hours 2 Help) in which employees can dedicate time out of their working hours to volunteer activities.
• Flexible compensation plan
• Hybrid telecommuting model (50%)
• 31 vacation days

Diversity and Inclusion commitment

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.