Senior Data Scientist Credit Modelling

GROUP BNP PARIBAS

BNP Paribas Group is the top bank in the European Union and a major international banking establishment. It has close to 185,000 employees in 65 countries. In Spain we are more than 5,100 employees within 13 business lines.

RISK HUB

RISK is an integrated and independent control function of the BNP Paribas Group. It is the second line of defense on the risk management activities of the Group which are under its direct responsibilities, including credit and counterparty risk, market risk, funding and liquidity risk, interest rate and foreign exchange risks in the banking book, insurance risk, operational risk, and environmental and social risks.

RISK aims at being a partner of the businesses by contributing to their sustainable development, but also a gatekeeper to ensure risks taken remain compatible with the Group’s Risk Appetite and its strategy.

RISK Iberian Hub Madrid is a transversal platform servicing the RISK Function by covering added-value activities around credit risk, market risk, operational risk and data protection. Offering a wide range of services to RISK teams, from consulting to cyber security going through data analysis, modelling or artificial intelligence.

About The Job

Want to help shape the bank of tomorrow today?

How can the Bank leverage data to assess credit risk on its portfolio of existing and new clients

Risk assessment encompasses various elements: how likely is it that a client will not be able to comply with the contractual requirements of his loan? What will be the client’s outstanding balance in this situation? What loss is the bank expected to suffer if a client is no longer able to repay a loan?

As a member of the RISK Models team, you will join a team of experts whose goal is to answer these questions through the development of statistical or expert models.

By analysing historical data, working together with the business lines, IT department, the modelling experts at BNP Paribas group and taking into account the remarks of supervisor representatives, the team creates tools that help the bank calculate the capital requirements for its credit exposure, the risk component of the credit price or that contribute to the approval process of a new credit.

Responsibilities

Your personal tasks will be:

• Designing and developing models for credit risk on the scope mainly of companies
• Finding, managing and using the most appropriate data sources for modelling purposes
• Working with expert colleagues and business representatives to examine the results and keep models grounded in reality
• Documenting each step of the development and informing decision makers by presenting them options and results
• Ensuring correct implementation of the tools (together with the IT department)
• Continuously assessing models by means of back-testing
• Answering specific, external requests regarding statistics related to credit risk assessment
• Following-up evolutions in the regulation and in credit risk modelling best-practices
• Potential expansion of responsibilities to encompass HR-related tasks, complementing existing operational duties.

Requirements

• Studies
• Master degree or higher in Mathematics, Economy or Econometrics, Statistics or a similar background where analytics and figures prevail.
• Experience
• Work experience of at least 5 years in credit risk modelling (PD/LGD/LGDD/CCF).
• Languages
• You express yourself perfectly in English, in particular in the writing form. You ideally speak French fluently.

Skills

• Technical
• You have strong SAS programming skills.
• It is considered an asset if you have some experience with Big Data technologies, ratings & scorings use across the bank or credit products.
• Transversal & Behavioral
• You are able to manage long-term deadlines and plan your work accordingly.
• You are creative, you pay attention to details, and you are able to work easily with both technical and business-oriented people.

Benefits

• Training programs, career plans and internal mobility opportunities, national and international thanks to our presence in different countries.
• Diversity and Inclusion Committee that ensures an inclusive work environment. In recent years, several employee communities have been created to organize diversity and inclusion awareness actions (PRIDE, We Generations and MixCity).
• Corporate volunteering program (1 Million Hours 2 Help) in which employees can dedicate time out of their working hours to volunteer activities.
• Flexible compensation plan.
• Hybrid telecommuting model (50%).
• 32 vacation days.

Diversity and inclusion commitment

BNP Paribas Group in Spain is an equal opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency, which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.