Credit Risk Model Validator

December 25, 2023

Credit Risk Model Validator

ReferenceRISK-122023-002-SOS

  • Standard / Permanent
  • CA-QC-Montréal
  • RISK
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In a changing world, unprecedented challenges require unmatched talent. Join one of Montreal’s Top Employers in 2023. We are a dynamic and growing organization having its main establishment located in downtown Montreal and part of a leading international banking institution fully committed to building a more sustainable future. Note that the position may be in the Canadian Branch of BNP Paribas or in one of its subsidiaries based in Montreal.

The position at a glance 

RISK Independent Review & Control (RISK IRC) is a special unit within the RISK organization and reports directly to the Group CRO. The independent review arm of the department provides second line of defense for the use of various types of models and, accordingly, is in charge of model risk management. Within RISK IRC there is a Model Governance team and several Model Validation groups. The Model Validation groups are responsible for performing an independent effective challenge of the modelling choices in accordance to internal policies, procedures and standards. RISK IRC is an international team with presence in 9 countries and that gives you the chance to work with a wide range of experienced and skilled professionals in the credit risk area.

  

In detail 

  • Conduct independent quantitative reviews of the Credit Risk Models used within BNP Paribas (such as IFRS9, Scoring Models, IRB, Stress Testing and ICAAP) in accordance with internal standards and regulatory guidance.
  • Play a major role in the definition and challenge of BNPP’s global modelling convergence across entities by helping reach full compliance with European Banking Regulations (CRD, CRR, Basel IV).
  • Review and assess other models that may affect any of the credit risk cycle decision making process including ESG related models.
  • Provide challenge of conceptual soundness, reasonableness of model output, implementation and any other relevant modelling aspects impacting fit-for-use.
  • Work with validation managers to develop an appropriate validation plan to provide effective challenge commensurate with the level of model risk.
  • Produce documentation of effective challenge process and materials to support committees in review and decisions.
  • Assess ongoing model performance.
  • Defend conclusions to management.

The strengths and skills that will help you succeed

Minimum Required Qualifications

  • Master degree in Finance, Economics, Statistics or any other related quantitative field.
  • 5+ years of experience validating or developing Credit risk models.
  • Deep quantitative and statistical knowledge (time series analysis, statistical inference and probability, clustering, etc.).
  • Programming experience in statistical or mathematical languages such as SAS, R, Python.
  • Experience producing high quality written technical documentation.
  • Good communication and synthesis skills in addition to critical thinking capabilities and passion for learning.
  • Knowledge of the English language is required

Preferred Qualifications:

In addition to the minimum requirements, it is desirable for the candidate to be able to demonstrate:

  • Knowledge of the regulatory requirements (such as Basel, IFRS9, etc.).
  • Experience in interacting with regulatory bodies through participation in on-site inspection missions.
  • Knowledge of AI or machine learning techniques.

  

What’s in it for you

In addition to competitive compensation, we offer flexible benefits including a family and spouse insurance program, a defined contribution pension plan and paid days for volunteering. Hybrid work arrangements, such as remote working up to 50% and flexible working hours are available for most positions. BNP Paribas provides excellent training and personal development programs, as well as opportunities for career development within the company and internationally.

To find out more about our range of benefits, click here

What you need to know

  • We will review candidates as they apply, so don’t wait to submit your application; 
  • If you are selected to participate in the recruitment process, please inform Human Resources of any accommodations you may require. BNP Paribas will work with you to ensure that you are able to participate fully in the process;
  • You must be legally eligible to work in the Greater Montreal area and, if applicable, hold a valid work or study permit. Physical presence in BNP Paribas’ office(s) is an essential function of this position; 
  • Given the vast majority of our clients, both internal and external, are based outside of Quebec and Canada, specific language requirements may apply. These will be clearly mentioned in the qualifications of the position;

Diversity, Equity and Inclusion (DE&I) at the heart of our commitments

At BNP Paribas all employees are on an equal footing allowing us to create a work environment that values and respects people for their talents, skills and competences.

BNP Paribas recruits, employs, trains, compensates and promotes regardless of race, religion, colour, national origin, sex, disability, age, and other protected status (Employment Equity Act and Canadian Human Right Act).

To learn more about our DE&I commitments, click here

About us

BNP Paribas is the top bank in the European Union and a major international banking establishment. Present in 65 countries, with more than 190,000 employees, the bank holds key positions in several areas of banking and financial services.

BNP Paribas’ mission is to contribute to a responsible and sustainable economy by financing and advising its clients according to the highest ethical standards, while striving to respond to essential concerns in terms of the environment, regional development and social inclusion.

Since 1961, BNP Paribas has supported large Canadian companies and institutions in their business development by offering a full range of specialized financial services and investment products.

With over 1,200 employees, BNP Paribas in Canada continues to attract experts from diverse fields as well as ambitious young talent from around the world. We are proud to offer our employees a rewarding and international workplace where they can build their professional careers by honing their skills, meeting challenges and enriching their knowledge of the financial industry.

Our certifications and partnerships

  • Montreal Top Employer 2023
  • Canada’s Best Diversity Employer 2023
  • Women in Governance  – Parity certified –  Gold certification
  • CCDI Consulting Inc. (Canadian Center for Diversity and Inclusion)
  • Pride at Work Canada
  • Rainbow Accreditation issued by Canada’s LGBT+ Chamber of Commerce (CGLCC)
  • ROSEPH – Grouping of specialized organizations for the employment of persons with disabilities
  • IndigenousWorks
  • Part of Les Affaires top 300 companies in Quebec

Do you want to discover other BNP Paribas offers in Canada?

Click here: BNP Paribas in Canada Our job offers

** Only selected applications that meet the requirements of the role will be contacted **

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