BNP Paribas - Manager - Quant Modeling

About BNP Paribas India Solutions: Established in 2005, BNP Paribas India Solutions is a wholly owned subsidiary of BNP Paribas Group, a leading bank in Europe with an international reach. With delivery centers located in Mumbai and Chennai, we are a 24x7 global delivery center. We partner various business lines of BNP Paribas such as Corporate and Institutional Banking, Wealth Management, Retail Banking through three verticals - Information Technology, Operations and Finance Shared Services.

Position Purpose : 

- BNPP is seeking candidates to join the Quant Modeling, Forecasting and Analytics team, which is established to support the IHC Program. The team will be responsible for supporting the stress testing, and related development of models to calculate and forecast the projections under stressed scenarios. 

- The team will work closely with other business and functional areas to promote compliance with various Fed regulations and initiatives, including the Comprehensive Capital Analysis and Review (CCAR) framework. 

- As part of CCAR, bank holding companies are required to submit a comprehensive capital plan with three components as follows: planned capital distributions, capital adequacy under base and stress conditions (i.e. capital stress tests), and extensive documentation on the capital planning process. 

- As part of the CCAR submission to the Fed, BNPP must submit a package to the Fed, inclusive of Capital Plan, 14A template and supporting documentation. The Bank will be required to submit the results of company-run stress tests based on three supervisory scenarios (baseline, adverse, severely adverse) and two internally developed scenarios (baseline and stress).

Direct Responsibilities : 

- Detailed responsibilities will include (but not limited to) the following: Support BNPP in its efforts to assist with the model development, model maintenance, model execution and validation of statistical and qualitative models 

- Develop and enhance preliminary models and approaches (in partnership with LOBs and functional areas as applicable) to support stress testing 

- Be responsible with data collections, verification, and assembly 

- Performing stress testing, back testing, sensitivity analysis, scenario analysis, etc. Collaborate with key stakeholders to conduct analysis on various topics and help develop potential solutions and/or approaches. 

- Assist in the preparation of regulatory document submissions and interact with regulatory bodies as needed 

- Prepare model documentation and support validation of models as needed 

- Support efforts in the development of new models, analytic processes, or system approaches

- Develop internal controls for various processes, and support internal audits 

- Assist with reporting as needed

Required Experience: -

- Proven experience in developing statistical models in the financial services industry including loss estimation, PPNR, and RWA (Credit, Counterparty or Market) forecasting 

- Self-starter, ability to work independently in a fast paced environment and deliver solid action oriented results quickly

- At least 4 years of experience in quantitative roles in Financial Services industry (capital markets knowledge preferred) 

- Excellent problem solving analytical skills, detail-orientation, independent thinking, and organizational skills 

- Previous experience dealing with model validation groups 

- Strong quantitative and statistical skills (time series analysis, logistic/ linear regression, and segmentation). 

Qualification - Graduate or post-graduate degree in a quantitative field including Statistics, Econometrics, Economics, Engineering, Mathematics or related field or equivalent experience.