Python Job: Calibration Officer

About the job

The Calibration Officer will be responsible for a set of calibration tasks split between market risk (bi-weekly calibration of the VaR, quarterly monitoring of stress periods for the Stress VaR) and counterparty risk (quarterly calibration of the PFE and monitoring of stressed periods for stressed EEPE, annual calibration of counterparty standards). The Calibration Officer will coordinate with all the relevant teams to present on a periodic basis to RISK senior management and sometimes regulators, the impacts of these calibration runs.

Your Main Activities Are

• To ensure regular analysis and updating of the statistical parameters used in market management systems
• To assess the impact of parameter analysis on business
• To develop the calibration process with new risk factors and updates of the risk methodology
• To meet all legal and economic requirements for sizing
• To optimize the automation and flexibility of the process

Profile and Skills to Success

• Master’s degree in Business, Finance, Mathematics, Masters in Information Technology, Computer Science and related fields
• Fluent level of English
• Ability to collaborate/Teamwork (within the team and with other teams)
• Delivery-focused, with the objective to deliver added value to our customers
• Proficient in Office and a good knowledge of the Python programming language is an asset
• Good market and/or counterparty risk knowledge
• Knowledge of risk metrics (VaR, PFE) and capital market products (derivatives, stocks, bonds) are a strong plus.
• Proficiency in statistics highly appreciated
• Analytical skills, problem solving/analysis
• Excellent interpersonal and organizational skills
• Pro-activity

About the Team

The Calibration team is part of the RISK department and its entity RISK Global Services. This department reunites all the teams offering common services required in the management and supervision of the Bank's risk profile. The RISK Global Services teams aim to transversally develop optimized resources, platforms and common services that are adding value for all of RISK. Their activities cover transversally market, counterparty, credit and liquidity related topics. They assume their responsibilities in full cooperation with either RISK Business Domains or Global Practice teams, or else with subsidiaries or branches of the corresponding RISK teams. More precisely, the Calibration team is part of RISK Systems within RISK Global Services. RISK Systems at Group level is responsible for risk capital markets IT systems. Within RISK Systems, the Calibration team is responsible for the regular control of the parameters used in the market and counterparty credit risk calculation processes. Such calculation processes are global in the bank (no process by region or country) and as such, the team interacts with other teams worldwide. The function offers the opportunity to act in an international and dynamic environment with new business and regulatory requirements to cope with.

#LI-Hybrid

Why joining BNP Paribas?

• Leading banking institution

BNP Paribas is a leader in the Eurozone, and a prominent international banking institution with strong roots in Europe's banking history. It has a presence in 65 countries, with around 190 000 Employees – including more than 145 000 in Europe.

• Our presence in Portugal

Since 1985, BNP Paribas was one of the first foreign banks to operate in the country. Today, the Group has around 7.100 employees across several entities operating directly in the territory, offering a wide range of integrated financial solutions to support its clients and their businesses.

• International reach

Thanks to its international presence and regular and close collaboration among its different entities, BNP Paribas has the resources to support all clients with financing, investment, savings and protection solutions that help make their projects a success. BNP Paribas holds key positions in its three core operating divisions:

• Retail Banking, a division that brings together all of the Group’s retail activities and specialised business lines;
• Investment & Protection Services that include specialised businesses offering a wide range of savings, investment and protection services;
• Corporate & Institutional Banking division that offers tailored financial solutions for corporate and institutional clients.

• Diversity and Inclusion commitment

BNP Paribas 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, 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.

• Commitment towards work/life balance

At BNP Paribas we care about our employees wellbeing and promote a culture of good integration between work and rest. We believe our employees have rich personal lives outside of work, being fundamental to be disconnected from work to recharge both physically and mentally. Only through this balance we may all be at our best while working.

• Remote Working Conditions

At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working modalities adapted to our hybrid working environment. To guarantee a comfortable and efficient working set-up, eligible employees are provided with both the office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional equipment at reduced prices.

To find out more on why you should join BNP Paribas visit https://bnpp.lk/why-BNP-Paribas-Portugal

• Please note that only applications submitted in English will be considered.

• In case you are selected for this role, further documentation will be requested to support your hiring process.

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