RISK MFI Platform Valuation Analyst

In Asia Pacific, BNP Paribas is one of the best-positioned international financial institutions with an uninterrupted presence since 1860. Currently with over 18,000 employees* and a presence in 13 markets, BNP Paribas provides corporates, institutional and private investors with product and service solutions tailored to their specific needs. It offers a wide range of financial services covering corporate & institutional banking, wealth management, asset management, insurance, as well as retail banking and consumer financing through strategic partnerships.

Worldwide, BNP Paribas has a presence in 68 markets with more than 193,000 employees. It 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. Asia Pacific is a key strategic region for BNP Paribas and it continues to develop its franchise in the region.

* excluding partnerships

At BNP Paribas, we passionately embrace diversity and are committed to fostering an inclusive workplace where all employees are valued, respected and can bring their authentic selves to work. We prohibit Discrimination and Harassment of any kind and our policies promote equal employment opportunity for all employees and applicants, irrespective of, but not limited to their gender, gender identity, sex, sexual orientation, ethnicity, race, colour, national origin, age, religion, social status, mental or physical disabilities, veteran status etc. As a global Bank, we truly believe that inclusion and diversity of our teams is key to our success in serving our clients and the communities we operate in.

https://careers.apac.bnpparibas/

Position Purpose

Responsibilities :

Scope

RISK Market and Financial Institutions' responsibilities related to Fair Value Reserves (FVR), Methodology Corrections (MC) and Prudent Value Adjustments (PVA) across all Global Markets Flow trading activities within the APAC region.
Monitoring and coordination of the Independent Price Verification (IPV) process. For APAC it also includes:
IPV methodologies initiated in the region, typically on products primarily traded in these regions, and any local difference or specificity.
IPV controls (MAP Reviews) that have not yet been transferred to Valuation Control or that are deemed too complex or too specific to be transferred.

Responsibilities

Methodologies

Own the FVR, MC, PVA and IPV methodologies on the scope defined above, more specifically:

• Design and document methodologies in line with internal and regulatory requirements.
• Provide methodology specifications and validate their implementations.
• Represent FVR and PVA methodology topics in the relevant committees.
• Review the FVR and PVA methodologies at the appropriate frequency.
• Point of contact on these topics with internal and external stakeholders.

Methodology & Charge Calibration

• Review the charges required by the FVR/PVA methodologies at the appropriate frequency. Compute, analyze and seek validation for changes through (e)VMC.
• Where relevant, calibrate or approve the netting methodology satisfying the Variance Ratio Test (VRT) at the appropriate frequency.
• Own the choice of data sources used within methodologies, review them on a regular basis and adapt them as needed.
• Own the IPV methodologies related to the business and regional scope covered.

Analysis, Monitoring & Reporting of Valuation Adjustments in scope

• Manage the computation, and certify all month-end FVR/MC, IPV and all quarter-end PVA.
• Analyze monthly the variations of valuation adjustments stocks and communicate to front office and other stakeholders. Also provide visibility on the intra-month evolutions of these adjustments where relevant.
• Represent RISK MFI in the relevant Valuation Risk Committees for VA-related topics.
• Provide timely analysis on relevant market evolutions affecting uncertainty, liquidity or observability.
• Promote standardization of methodologies across locations and business lines.

Technical & Behavioral Competencies

Specific Qualifications (if required)

• Bachelor Degree or equivalent
• 2 - 3 years of experience in risk management or related risk
• Strong analytical and critical thinking skills
• Excellent Communication skills, both written and verbal
• Ability to work independently and in a team environment
• Proficiency in Mircosoft Excel and other data analysis tools
• Knowledge of risk management frameworks and standards.