Vice President - PM / Credit Solutions & Product Engineering

BNP Paribas
New York, USA
Dec 28, 2017
Jan 03, 2018
Job Function
Industry Sector
Finance - General
Employment Type
Full Time

About BNP Paribas:

BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 74 countries, with more than 192,000 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, corporates 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.

Business Overview:

Portfolio Management (PM) is a part of the Corporate and Institutional Banking activity (“CIB”). This is a transversal department with dedicated teams across the different regions.

The main mission of PM is to contribute to risk return optimization at origination, to actively manage the financing loan books and to contribute to capital optimization.  The team is responsible for monitoring with coverage the process at Origination on financing transactions with a focus on the main resources consumption, capital, liquidity, balance sheet and risk-return. The team is also in charge of initiating and implementing solutions to mitigate RWA or liquidity consumption.

PMA is a transversal department within the Corporate Platform, with a regional management scope that includes the United States, Canada and Latin America. PMA is currently composed of 4 teams with all staff located in NY: Origination; Active Management & Transactions; Portfolio Analytics & Modelling; and Credit Solutions & Products Engineering.

PMA aims at ensuring a fair and optimal allocation of key financial resources in order to contribute to CIB value creation objective by:

  • Maintaining discipline at origination by contributing to risk return/RWA management, liquidity cost, Exposure analysis and CDS/Insurance market intelligence at the Resource Allocation Committee, in coordination with Coverage and Business Lines
  • Following up through back testing of clients/decisions made at origination in liaison with Coverage and concentration analysis
  • Managing the credit portfolio of the Corporate Platform from a risk, capital, liquidity and return perspective through proposal and execution of Active Management actions (Loan Sales, hedging with CDS and Credit Insurance, Balance Sheet Securitization)
  • Management of the credit derivatives and CLO investment portfolio
  • Create and maintain an expertise center, by providing tools (RAROC Tool and Portfolio Analytics) and guidance, for methodologies in credit risk-return and value creation (RAROC, CEVA, CVC, EVC) for CIB
  • Actively monitor the Corporate Loan Book (including budgeting, forecasting and monitoring of RWA, Exposure and P&L)

Business Overview Cont'd:

  • Provide Senior Management including Head of CIB Americas with quarterly review of the key resources consumption across the Corporate Platform through the Strategic Resource Committee. Additionally perform analysis and monitoring of the portfolio profitability from a risk return and value creation standpoint at client level on an ex-ante, prospective and ex-post basis

PMA has main interactions with Coverage, Financing Solutions, ALM, PM Middle Office, Finance, TIS, Legal, Compliance, Loan Trading and Global Markets


  • Subject matter expert on active management techniques, pricing of structured credit products and Basel regulations related to all credit risk mitigation techniques
  • Design, set up and maintain Portfolio Management proprietary tools needed by the regional teams using agile and innovative IT techniques
  • Investigate portfolio and structured solutions to transfer credit risk to third parties - portfolio risk participations, first-loss CLNs
  • Support and train Portfolio Management regional teams on quantitative and methodological issues
  • Research projects related to Portfolio Management topics

Transactions structuring and investment:

  • Screen and analyse new products/structures for investments or hedging
  • Identify and implement new portfolio management initiatives
  • Balance sheet securitization
    • Manage the reloading of US portfolio in global securitization facilities
    • Propose, structure and execute new securitization transactions as needed for the benefit of Corporate Bank Americas
    • Monitoring developments in the structured credit products environment (model improvements, new structural features, etc.…)
    • Follow-up of regulatory evolutions related to credit risk mitigation instruments (Basel, ECB...)

Decision-making tools:

Designing, deploying and maintain PM decision-making tools to support the active management of PM portfolios across the spectrum of credit risk mitigation instruments

  • Maintain and enhance tool to compare various hedging strategies (Mistral)
  • Shadow Mark-to-Market of the CDS book
  • Risk monitoring:
    • Trades risk analysis (what if scenarios, projections, etc.…)
    • Stress-testing
  • Performance measurement tools
  • Early warning signals for credit deterioration
  • Specific fair valuation/pricing tools
  • Interactions with Group Risk Management and owners of other information sources - represent PM for quantitative topics and methodology discussions

PM Decision-making tools capitalise on functionalities and processes available within Fixed Income.

Portfolio analysis:

  • Quantitative portfolio analysis
  • Evaluation of indicators / views to improve portfolio intelligence
  • Continuous effort to improve data quality

Minimum Required Qualifications:

  • MS/MSc in financial engineering or another quantitative field
  • 7 - 10 years of relevant industry experience
    • 2 - 3 years of credit modelling, valuation and pricing of credit products - loans, bonds, credit default swaps
  • Excellent knowledge of Microsoft Excel
  • Knowledge of credit risk RWA calculations and modelling
  • Knowledge of Basel, Volcker and other regulatory issues affecting banks
  • Some experience in structured credit products including balance sheet or arbitrage CLOs, synthetic securitization
  • Excellent verbal and written communication skills;

Preferred Qualifications:

  • CFA is a plus
  • Working knowledge of French a plus
  • Programming skills in VBA, MySQL; other object oriented programming languages a plus

FINRA registration:

  • Series 7, 63 or 79 a plus but not required


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