Experteer Overview
In this role, you will review, oversee and monitor BNP Paribas' credit risk models (IFRS9, scoring, IRB, stress testing, and ICAAP) to ensure regulatory compliance and global modelling convergence. You will validate and challenge models across entities, liaising with senior stakeholders and regulators to uphold performance and adherence to CRD/CRR and Basel IV. This position sits in the international Risk Independent Review and Control team, with a Madrid base and cross-country collaboration. You work on diverse models, including ESG-related ones, supporting the Group’s risk governance and validation standards.

Compensaciones / Ventajas
• Participate in the review, oversight and monitoring of all active credit risk models
• Contribute to defining and challenging global modelling convergence across entities
• Ensure compliance with European regulations (CRD/CRR, Basel IV) and internal guidelines
• Review and assess other models affecting the credit risk cycle (including ESG models)
• Monitor model performance (estimates review and backtesting)
• Collaborate with senior executives across BNP Paribas Risk, Model Development, Internal Audit and Risk Officers
• Validate Group Global Corporate Models (Asset Finance, Large Corporates, LBO, Financial Institutions)
• Engage with regulatory bodies (ECB,



ACPR) and participate in on-site missions
• Liaise with stakeholders in Madrid Risk Hub and across BNPP entities in multiple countries
• Contribute to risk governance in a cross-functional, international context
• Advise on methodological improvements and ensure rigorous, autonomous work while supporting teamwork

Responsabilidades
• Strong statistical knowledge in inference, probability, clustering, and time series forecasting
• Strong critical thinking and learning mindset
• Knowledge of latest regulatory requirements (NDOD, Basel IV, EBA Guidelines, IFRS9, CRR/CRD, Collateral eligibility, ECB Guide to Internal Models)
• Experience in development and/or validation of both Retail and Corporate/Global models
• Knowledge of SAS
• Good communication and synthesis skills
• Experience liaising with regulatory bodies (ECB, ACPR, Bank of Spain) and participating in on-site missions (IMI, OSI)
• Fluency in English (written and spoken)
• Rigorous, autonomous worker with strong team spirit and collaboration
• Knowledge of machine learning algorithms; Python and R is a plus

Requisitos principales
• Hybrid working policy with significant flexibility to work from home

📌 Credit Risk Model Validation Specialist [RSK_003108] (Madrid)
🏢 BNP Paribas
📍 Madrid