Model Validation – Market Risk – FRTB – PORTAGE SALARIAL

TJM 910€

MADRID

Nous collaborons avec un partenaire, actuellement à la recherche d’un(e) professionnel(le) qualifié(e) pour rejoindre son équipe dans le cadre d’une mission.

Long term (1Y, 2Y) support for a quant team located in Madrid (50% local presence possible) on model validation topics, applied to market risk (SA FRTB, SA CCR). Experience in modeling mandatory, experience in market risk mandatory. English & Spanish mandatory. <br> _The IRC Madrid needs support on quant reviews on several key validation projects of the Bank. Among others the Standard Approach of Fundamental Review of trading books (FRTB SA), validation of Standard Approach of Counterparty and Credit Risk (SA CCR) or CCR Stress Testing program._   **_The general objective of the service will consist in:_** 1. _Independent reviews of provided scope and / or implementation and / or methodology and / or pricer_ 2. _It shall result in value added findings enhancing the control of model risk and ensuring the submission package reaches Regulatory Standards where applicable._   **_The service requires the following expertise:_** _1.     Technical and quantitative skills, coding is a plus_ _2.     Knowledge of market and/or counterparty risk models, and applicable regulation_ _3.     Pricing models, as well as market and/or counterparty risk modeling techniques_   **_The outcome of the reviews_** _will have to be presented in memos following the appropriate applicable wording and formatting._   _The service is to be provided in English, in BNP offices located either in Madrid, Paris or Bucharest with the possibility to be partially worked from home. In order to acquire the adapted base knowledge of the Bank’s systems and governance, **only availabilities for long missions (1-2Y) will be considered.**_  

Durée estimée : 12 mois
910
Rythme : Temps plein (5 jours / semaine)
Part de télétravail estimée : 2j télétravail / semaine
Domaine principal : Réglementations bancaires
Secteur : Banque
Lieu principal : Madrid
Démarrage idéalement le : 2024-06-02

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