Credit Risk Regulatory Strategy Analyst

Job Description

Internal Models Portfolio Strategist – Credit Risk | BNP Paribas

The Tone:
This is a role at BNP Paribas, a leading bank in the European Union with a presence in over 60 countries and close to 190,000 employees. The Group supports a diverse range of clients, from individuals to large corporates and sovereigns, through comprehensive financing, investment, savings, and protection solutions. This position within the RISK Division’s MS4U team is critical for shaping the Bank’s credit risk framework, directly influencing capital requirements, modelling strategy, and the long-term roadmap in a constantly evolving regulatory environment.

The TL;DR
• Role: Full Time
• Team: PPU Roll-Out Decision team within Advise – Model portfolio analysis and Strategy (‘MOMA’), part of MS4U in the RISK Division.
• Mission: To structure, steer, and industrialize regulatory approach decision-making, influencing capital requirements, modelling strategy, and the Bank’s long-term roadmap.
• Tech Stack: Excel, SAS, Python, R, Power BI, Tableau

What You’ll Actually Do
• Framework Design & Formalization: Design and formalize a robust and transparent framework for selecting regulatory approaches, clearly defining the choice between internal models and standardized approaches, and translating key CRR concepts like Exposure Type into operational decision drivers for regulatory justification.
• Cartography & Matrix Management: Produce and maintain the Bank’s comprehensive credit risk cartography, mapping exposures to their regulatory approaches, and deliver the PPU Roll-Out Matrix, a cornerstone for monitoring regulatory approaches, ensuring its robustness through rigorous controls and consistency checks.
• Strategic Planning & Contribution: Actively contribute to the definition of the Group’s 5-year modelling strategy, working in close collaboration with all relevant stakeholders across Risk, Finance, IT, and Governance, and engaging directly with Business Line CFOs and CROs to support informed decision-making.
• Regulatory Impact Analysis & Reporting: Analyze credit risk databases to understand and explain changes in regulatory approach, EAD, and RWA, providing insights that support the annual credit risk portfolio review and active participation in the yearly regulatory approach assignment process.
• Industrialization & Continuous Improvement: Drive continuous improvement initiatives, supporting industrialization and automation projects to enhance regulatory approach management within BNPP IT systems, identify and address operational and data quality improvement needs, and participate in remediation actions and process enhancements.

The Must-Haves
• Background: Master’s degree with a specialization in finance, risk, data science, statistics, or economics. The role requires strategic input into credit risk frameworks and capital management.
• Experience: Proficient understanding of credit risk modelling, the capital requirement related regulatory environment, and relationship management with supervisors.
• Skills: Expert in Data Processing (Excel, SAS, Python) and Data Visualization (Excel, Python, R, Power BI, Tableau). Proficient in Analytical Ability and the ability to explain complex technical topics simply.
• Bonus: Proficient in creating relevant indicators and inspiring commitment, managing/facilitating meetings, and developing/adapting processes.