VIE CREDIT QUANTITATIVE ANALYST – MONTRÉAL, H/F

Job description

CANADA(Montreal)
du01 juin 2020au01 juin 2021(pour12mois)
ETABLISSEMENT :BNP PARIBAS
REMUNERATION MENSUELLE :2321€ (indemnité non contractuelle fixée par décret et arrêté, dont le montant peut varier notamment en
fonction de l’évolution du barème de référence, de la localisation de la mission et des cas d’abattements prévus par les textes)

VIE Credit Quantitative Analyst – Montreal, H/F

Your daily routine ?

The VIE is part of the Credit Solutions & Products Engineering team and will assist the team on various subjects. He/She will bring programming skills and a quantitative expertise to the team:

1. Development of tools and quantitative analysis, involving programming:
- Support PM Americas on quantitative subject, pricing and methodologies
- Develop and update PM proprietary tools (identification of loans for hedging, trade performance measurements for risk and P&L)
- Automate reports and data sources (PM database). Migration of the tools to the new techniques. Enhance tools for identification of Capital savings opportunities
- Credit portfolio analysis, (RWA trends, analysis / validation of the main changes in the portfolio). Client performance metrics definition, and contribute to enhance data quality
- Committee preparation, or ad-hoc initiatives, presentation as needed

2. Support the Active Management:
- Contribute to the reccuring review of the Active Management activity and production of reports (monitoring of main public news on hedged or sensitive names, weekly P&L evolution, follow up and tracking of covenant trends, rating changes, CDS spread movements for names in our portfolios, contribute to the periodic analysis of specific sectors, sector trends and outlook)
- Assist with the preparation of activity periodic portfolio review
- Assist with the maintenance of the hedged positions and asset sales transactions (due diligence) and prepare Global Recovery Rate Forms and quarterly GRR enhancement validation
- Maintain the pipeline of Active Management transactions and participate in the identification and analysis of new names for hedging or investing purposes (Hedges, investments and securitization) and run simulations as needed, contributing to the budget and forecasting processes.
- Ensure proper booking of new deals (Trade Tickets)
- Contribute to the Active Management expertise and on risk reduction (regulatory review, pricing ad-hoc, transaction analysis)
The working environment is important !
Portfolio Management Americas (PM) is a transversal department within Global Banking Americas (GBA) division of the Corporate and Institutional Banking activity (“CIB”).
The main mission of PM is to contribute to risk return optimization at Origination, to actively manage the financing loan books and to contribute to capital optimization. The team is responsible for monitoring the Origination process for financing transactions, with Coverage, with a focus on consumption of resources such as capital, liquidity, balance sheet and risk-return. The team is also in charge of initiating and implementing solutions to mitigate RWA or liquidity consumption.
Scope includes the United States, Canada and Latin America. PM is currently composed of 3 teams with all staff located in NY and Montreal: Origination and Active Management, Credit Solutions & Products Engineering and Portfolio Analytics & Modelling (“PAM”).
PM aims at ensuring a fair and optimal allocation of key financial resources in order to contribute to CIB value creation objective by:
• Maintaining discipline at Origination by contributing to risk-return and RWA management, liquidity cost, exposure analysis and CDS/Insurance market intelligence at the Resource Allocation Committee (“RAC”), in coordination with Coverage and Business Lines
• Back testing of clients profitability in liaison with Coverage, and concentration analysis
• Managing GBA loan books from a risk, capital, liquidity and return perspective through execution of Active Management actions (Loan Sales, hedging with CDS and Credit Insurance, Synthetic Securitization)
• Management of the credit derivatives and CLO investment portfolio
• Create and maintain an expertise center by providing tools (RAROC Tool and Portfolio Analytics) and guidance, for methodologies in credit risk-return and value creation (RAROC, CEVA, CVC, EVC) for CIB
• Actively monitor the Corporate Loan Book (including budgeting, forecasting and monitoring of RWA, Exposure and P&L)
• Provide Senior Management including Head of CIB Americas with quarterly review of the key resources consumption across the Corporate Platform through the Strategic Resource Committee. Additionally, perform analysis and monitoring of the portfolio profitability from a risk return and value creation standpoint at client level on an ex-ante, prospective and ex-post basis
PM interacts primarily with Coverage, Financing Solutions, ALM, PM Middle Office, Finance, Trade Insurance & Syndication (“TIS”), Legal, Compliance, Loan Trading and Global Markets.
The next steps?
Understanding the management of bank loan portfolio, introduction to efficiently manage Capital under Basel and other regulatory constraints.
Knowledge of the credit market, vanilla financing products (loans and letter of credits). Related derivative products used for hedging (CDS, CLN, credit insurance, synthetic securitization).
Training on BNPP tools, Fixed income pricing tools, internal and external sources of data.
Are you our next VIE Credit Quantitative Analyst?
You have a Master degree with a specialization in Market Finance, IT or Quantitative Finance.
You justify a first experience (internships and work-study program included) in this field and in particular within an investment bank.
You also have knowledge in IT languages including VBA and Python, Database Management, SQL and Pack Office. You have also knowledges in financial analysis and performance. Your level of English is fluent.
You demonstrate the ability to analyze the ability to collaborate. Your ability to communicate as well as your thoroughness and your ability to adapt will be assets to progress on this mission.
Finally, we attach particular importance to ensuring that our future employees act on a daily basis with ethical and professional responsibility.
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