Model Risk Quantitative Analyst – Independent Review & Control

Tamarind Intelligence; Madrid; Híbrido; EUR 70.000 - 120.000; Jornada completa

Ventajas ofrecidas por este puesto de trabajo

Dynamic international environment

Training programmes

Diversity & inclusion

Volunteer programme

Hybrid work & 32 vacation days

Descripción de la vacante

BNP Paribas is seeking a Model Risk and Validation Analyst to safeguard the integrity of market and counter‑party risk models. You will conduct independent reviews, assess model limitations and advise senior stakeholders to ensure standards compliance.

You will develop scripts in Python, C++, or R to compare model alternatives and support validation while coordinating with developers and business owners across a global function.

Formación

• 2–12 years of quantitative experience in financial risk modelling.
• MSc or PhD in financial mathematics or related field required.
• Strong knowledge of capital markets, stochastic processes and derivatives pricing.

Responsabilidades

• Conduct independent reviews of market, counter‑party and valuation risk models.
• Analyse model outputs against regulatory requirements (FRTB, SA‑CCR).
• Develop and run quantitative scripts to compare model alternatives.
• Liaise with model developers and business owners to present results.

Conocimientos

Quantitative analysis

Financial mathematics

Model risk management

Regulatory knowledge

C++

Python

R

Matlab

Stakeholder communication

Educación

MSc in financial mathematics

PhD in related field

Herramientas

Python

C++

R

Matlab

Descripción del empleo

Who We Are

We are RISK, BNP Paribas' independent second‑line defence covering credit, market, funding, operational and ESG risks. Our global function operates on five continents, partnering with businesses to keep risk‑taking aligned with the Group's appetite and strategy. The RISK Independent Review & Control team delivers model‑risk oversight, independent reviews and advisory services worldwide.

Mission

As a Model Risk and Model Validation Analyst, you will safeguard the integrity of market, counter‑party and valuation risk models. You will conduct independent reviews, assess model limitations, and advise senior stakeholders, ensuring compliance with standards such as FRTB and SA‑CCR while enabling better decision‑making.

What You'll Do

• Conduct independent reviews of market, counter‑party and valuation risk models, evaluating 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.

What You'll Bring

• 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 to stay abreast of new developments and drive continuous learning.


• Ability to build relationships, challenge methodologies and propose alternatives.


• Results‑orientated, persuasive, autonomous and a genuine team player.

Our Perks

• Dynamic international environment working with cutting‑edge pricing and risk methodologies.


• Training programmes, clear career paths and global internal mobility.


• Diverse and inclusive community (PRIDE, We Generations, MixCity) backed by a dedicated D&I committee.


• Corporate volunteering programme (1 Million Hours 2 Help) with paid volunteer time.


• Flexible compensation, hybrid work model (50 % remote) and 32 vacation days. Learn more about our inclusive culture: Diversity, equality and inclusion BNP Paribas.

About BNP Paribas

We are BNP Paribas, a European banking leader present in 64 countries with over 178 000 professionals. Our three pillars---Domestic Markets, International Financial Services and Corporate & Institutional Banking---serve individuals, SMEs and large institutions worldwide. In Europe we hold leading positions across retail, corporate and investment banking, while expanding in the Americas and Asia‑Pacific. The RISK function underpins these activities, ensuring sound risk management and sustainable growth.