Junior Model Risk Quantitative Analyst - Independent Review & Control

BNP Paribas

Banche

Madrid - Spanien

Specialista

Ibrido

Experteer Overview

As a Model Risk and Model Validation Analyst, you safeguard the integrity of market, counter‑party and valuation risk models. You perform independent reviews, assess model limitations, and advise senior stakeholders to ensure compliance with standards like FRTB and SA‑CCR while enabling sound decision‑making. You develop and run quantitative scripts to compare model alternatives and collaborate with developers, validators and business owners. This role sits in a global risk function that emphasizes governance, continuous learning and cross‑functional impact.

Retribuzione / Benefits

Dynamic international environment
Training programmes
Diverse and inclusive community
Corporate volunteering programme (1 Million Hours 2 Help)
Flexible compensation, hybrid work model (50% remote)
32 vacation days

Responsabilità

Conduct independent reviews of market, counter‑party and valuation risk models, assessing conceptual soundness and limitations
Analyse model outputs against regulatory requirements (FRTB, SA‑CCR) and internal policies, documenting findings
Develop and run quantitative scripts (Python, C++, R) to compare model alternatives and support validation
Liaise with model developers, validation managers and business owners to gather data, clarify assumptions and present results

Requisiti fondamentali

2-12 years of quantitative experience
MSc or PhD in financial mathematics or a related field
Advanced knowledge of capital markets, product liquidity and collateral conventions
Strong understanding of stochastic processes, derivatives pricing and market‑risk modelling techniques
In‑depth familiarity with regulatory frameworks (FRTB, SA‑CCR) and internal model‑risk policies
Proficiency in C++, C#, Python, R or Matlab for rapid model assessment
Experience with model validation and model‑risk‑management processes
Curiosity for continuous learning
Ability to build relationships, challenge methodologies and propose alternatives
Results‑oriented, autonomous and team player

relationship-building persuasive communication autonomy Python C++C#

Descrizione della posizione

As a Model Risk and Model Validation Analyst, you safeguard the integrity of market, counter‑party and valuation risk models. You perform in…

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