Model performance analyst / securitization

Ready to analyse credit‑risk model performance for global securitisation deals?

Want to shape data‑driven insights that guide CIB capital‑markets decisions?

Looking for a role that blends quantitative research, regulatory compliance and climate‑risk analysis?

INDEX 1️⃣ Who we are

2️⃣ Mission

3️⃣ What you’ll do

4️⃣ What you’ll bring

5️⃣ Our perks

6️⃣ About BNP Paribas

Who We Are We are the Model Performance – Methods team in the ReMInD pillar of MS4U, delivering end‑to‑end modelling for BNP Paribas. Based in Madrid, we collaborate with colleagues in Paris, Merignac, Nantes and Lisbon, forming a 30‑member international community.

MISSION As a Model Performance Analyst, you will produce quantitative analyses of PD and LGD models for securitisation due‑diligence, including migration matrices and default‑rate evolution. Your work will help CIB colleagues and investors understand BNP Paribas’ credit‑risk profile and answer their queries. You will also enhance Power BI tools, streamline control plans and contribute to climate‑risk assessments on credit models.

What You’ll Do

• Produce quantitative analyses of PD and LGD models for securitisation due‑diligence, including migration matrices and default‑rate evolution.
• Compute and validate model‑performance indicators, comparing ex‑ante and ex‑post results to assess model quality.
• Explain model outcomes and scope to investors and CIB, delivering custom analyses as required.
• Enhance the Power BI reporting tool, increase automation, streamline control plans and support climate‑risk impact assessments.
• WHAT YOU’LL BRING
• Master’s degree in Mathematics, Statistics or a related quantitative discipline.
• Minimum 2 years experience in credit‑risk analysis, data analysis or statistical modelling.
• Strong knowledge of credit‑risk concepts and model performance metrics.
• Proficiency in Python, SAS and Power BI for data manipulation and visualisation.
• Advanced English communication skills; fluent in speaking and writing.

OUR PERKS

• Global training programmes and clear career‑development pathways.
• Active Diversity & Inclusion committees and employee networks (PRIDE, We Generations, MixCity).
• Corporate volunteering initiative (1 Million Hours 2 Help) with paid volunteer time.
• Flexible compensation and hybrid remote work (up to 50 % remote).
• 32 vacation days and international mobility opportunities.

Learn more about our inclusive culture: Diversity, equality and inclusion BNP Paribas.

About Bnp Paribas We are BNP Paribas, a leading European bank operating in 64 countries with more than 178,000 professionals. Our three pillars – Domestic Markets, International Financial Services and Corporate & Institutional Banking – serve individuals, SMEs and corporations worldwide. We combine strong risk governance with innovative solutions, helping clients achieve strategic goals while promoting sustainability and diversity.

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