Vice President- Global Equity and Commodity Derivatives Valuation Specialist
BNP Paribas Group:
BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 75 countries, with more than 189,000 employees, including more than 146,000 in Europe. The Group has key positions in its three main activities: Domestic Markets and International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors. The Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporate and institutional clients) to realize their projects through solutions spanning financing, investment, savings and protection insurance. In Europe, the Group has four domestic markets (Belgium, France, Italy and Luxembourg) and BNP Paribas Personal Finance is the leader in consumer lending. BNP Paribas is rolling out its integrated retail-banking model in Mediterranean countries, in Turkey, in Eastern Europe and a large network in the western part of the United States. In its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific.
About BNP Paribas Corporate and Institutional Banking:
Fully integrated in the BNP Paribas Group, BNP Paribas Corporate and Institutional Banking (CIB) is a leading provider of solutions to two client franchises: corporates and institutionals, and operates across EMEA (Europe Middle East Africa), APAC (Asia Pacific) and the Americas. The bank is a global leader in Debt Capital Markets and Derivatives. It is a top European house in Equity Capital Markets and it has leading franchises in Specialized Financing. In Securities Services, it is a top five House worldwide. BNP Paribas CIB strives to service the global economy by providing solutions to its clients in financing (ECM, DCM, specialized financing), flow banking (trade finance and cash management), financial advisory (M&A, project finance), global markets (interest rates, credit, foreign exchange, equity derivatives), risk management, and securities services.
Valuation & Risk Control (V&RC) is a global function part of ITO Global Markets and under Global Markets Product Control department, whose main missions are:
- In conjunction with Risk-GM (Market Risk), to independently verify and report on the accuracy of market parameters used in the preparation of GECD P&L and Collateral Valuation (IPV - Independent Price Verification).
- To monitor the trading activity based on common standards and the responsibilities and authorities defined in the trader mandates.
- In support of trading management, to monitor “local” risk limits and ensure adherence to Trader Mandates.
- In conjunction with Risk-GM, to ensure that the use of models, parameter sets and calibration parameters is in line with approved set ups.
The Valuation specialist role and responsibilities comprise of the following:
- Perform Independent Price Verification (IPV) processes for Global Equity and Commodity products with focus on both EQD (Delta one, Stock Flow, Convertible bonds and illiquid methodologies) and Commodity (Basis and Physical on Natural Gas, Power and Options).
- Lead projects, implementing new processes, re-engineering and industrializing current processes. New IPV implementations on both EQD and CIT perimeter.
- Ensuring handover and methodology documentation on the parameter review processes are up to date and signed off by management.
- Propose innovative enhancements to valuation methodologies. Implementation through consultation with and validation from local and global Risk (Risk-GM) and Financial Control groups.
- Effectively manage relationships with Front Office (Trading, Research).
- Actively explore and identify potential synergies and opportunities for improvements across business Lines (Fixed Income, GECD, and Asset/Liability Mgmt Treasury).
- Contribute to the maintenance of the matrix (market data cartography) that records the details for all parameters used in the Official PnL, ensuring that all parameters are controlled and accounted for and changes are properly authorized.
- Provide presentations to Trading, Middle Office on methodologies and IPV processes.
- Maintain clear and thorough records of all controls and be prepared to present and explain to audit
- Ensure processes are easily transferrable to other members of the team and procedures are complete
- Identify areas for personal development including finding courses / studies to advance technical and soft skills required for role
- Proactively build and maintain relationships with Front Office, Risk-GM, Middle Office, Finance, IT and any other areas across the organization which will assist in furthering processes and projects based on trust, respect and professionalism.
- Contribute to initiatives within the GECD V&RC function, both within the region and in other locations.
- Ensure complete familiarity with and adherence to Global Policies and Procedures and raise issues to management when practices are inconsistent or unable to be followed.
- Actively suggest improvements to processes based on a continual critical assessment and awareness of gaps in current controls
- Undergraduate degree in Engineering, Finance, Economics or Mathematics with high academics.
- 5+ years of relevant industry experience dealing with valuation and IPV.
- In-depth Knowledge of either Equity or Commodity instruments, all kind of products.
- Knowledge and understanding of options basics (Pricing/Models, Greeks, P&L effects, etc)
- Excellent IT skills (mainly VBA, Excel, Python). Quick to assimilate new technology/systems and adapt into processes.
- Strong written and oral communication, listening skills, including ability to concisely summarize findings and progress to management, especially in short timing under pressure.
- Ability to think critically, identify gaps in current controls and suggest improvements to existing processes.
- Ability to think in a control mindset, ensure all work is recorded, documented and readily available for audit.
- Ability to work in a global organization and build effective relationship with other counterparts/regions.
- Must be organized, accurate and attentive to detail.
- Must work well both within a team and independently.
- Ongoing curiosity in the evolution of the market environment, the organization and the bank's business.
- Masters in Financial engineering or related graduate degree
- CFA, FRM or equivalent certification
- Not Applicable