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Quant Loan portfolio management Associate

Horaires Temps plein
Marque BNP Paribas
Niveau d'expérience 3 à 5 ans
Niveau d'études Niveau Bac+4/5
Postuler REF: GBA-050321-004-ND

CIB PM Americas (PMA) - Business Overview:

Portfolio Management (PM) is a part of the Corporate and Institutional Banking activity (“CIB”). This is a transversal department with dedicated teams across the different regions.

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 process at Origination, with Coverage, on financing transactions 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.

PM Americas (“PMA”) is a transversal department within the Corporate Platform, with a regional management scope that includes the United States, Canada and Latin America. PMA is currently composed of 3 teams with all staff located in NY and Montreal: Origination & Active Management, Credit Solutions & Product Engineering and Portfolio Analytics & Modelling (“PAM”).

PMA 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 the loan books of the Corporate Platform from a risk, capital, liquidity and return perspective through execution of Active Management actions (Loan Sales, hedging with CDS and Credit Insurance, Balance Sheet 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, 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

PMA has main interactions with Coverage, Global  Credit Markets (“GCM”), ALM, PM Middle Office, Finance, Credit Insurance Distribution (“CID”), Legal, Compliance, Loan Trading and Global Markets.

Responsibilities

Within PMA, position reports to the Head Origination & Active Management and Credit Solutions

Quant with up to 1-3 years of relevant experience looking to broaden exposure on the business side

  • Pricing of vanilla and structured credit products
  • Maintenance and administration of mission critical SQL database
  • Design, develop and maintain Portfolio Management proprietary tools needed by the regional teams
  • Investigate portfolio and structured solutions to transfer credit risk to third parties – portfolio risk participations, first-loss CLNs, synthetic securitization
  • Work closely with Origination & Active Management to have a deep knowledge of transactions and to be able to understand and validate the results , and with Portfolio Analytics & Modelling team to provide data necessary for portfolio analysis (RWA, funded assets, cost of risk, etc)
  • Maintain database of hedged transactions and compute GRR enhancements for the positions
  • Monitor and quarterly re-load of synthetic securitization portfolios
  • Shadow mark-to-market of the CDS book
  • Update and enhance SQL stored procedures as needed
  • Develop queries to produce custom reports for team members
  • Liaise with IT to ensure upstream data sources are available at the specified time frames
  • Learn proprietary systems functionality to communicate effectively with Middle Office and other stakeholders, as needed, to rectify data errors and inconsistencies
  • Develop dashboards using visualization tools such as Tableau, Qlik Sense and Power BI

Portfolio analysis

  • Quantitative portfolio analysis
  • Evaluation of indicators / views to improve portfolio intelligence
  • Continuous effort to improve data quality

Qualifications

    • MS/MSc in a financial engineering or quantitative field such as Mathematics, Statistics, Computer Science or Computer Engineering
    • 1-3 year experience in programming in VBA, MySQL and any other object oriented programming languages
    • Some experience with data visualization tools and methodologies
    • Excellent knowledge of Microsoft Excel
    • A good knowledge of Python is a plus
    • Some knowledge of credit products including loans, bonds, credit default swaps, balance sheet or arbitrage CLOs, synthetic securitization would be useful
    • Knowledge of credit risk RWA calculations and modelling
    • Knowledge of Basel, Volcker and other regulatory issues affecting banks
    • Knowledge of statistics and experience using statistical packages for analysing datasets a plus
    • Organized, team work, strong analytical mind-set
    • Excellent English verbal and written communication skills; working knowledge of French a plus

A recruitment policy that promotes equity and diversity:

Equity and diversity are at the core of our recruitment policy because we believe that they foster creativity and efficiency which in turn increase performance and productivity. We strive to reflect the society we live in, while keeping with the image of our clients.

We pride ourselves in applying non-discrimination rules to all our recruitments.

We will only contact the candidates selected who meet the job requirements in terms of training and experience.

About BNP Paribas

BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 195,000 employees, including more than 148,000 in Europe. The Group has key positions in its three main activities: Domestic Markets and International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors. The Group helps all its clients (individuals, community associations, entrepreneurs, SMEs, corporates and institutional clients) to realise their projects through solutions spanning financing, investment, savings and protection insurance. In Europe, the Group has four domestic markets (Belgium, France, Italy and Luxembourg) and BNP Paribas Personal Finance is the leader in consumer lending. BNP Paribas is rolling out its integrated retail-banking model in Mediterranean countries, in Turkey, in Eastern Europe and a large network in the western part of the United States. In its Corporate & Institutional Banking and International Financial Services activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas as well as a solid and fast-growing business in Asia-Pacific.

About BNP Paribas in Canada

In Canada, BNP Paribas is one of the dominant foreign banks in the country and is committed to building its platform even further. Since becoming the operational hub for the Group’s activities in North America in 2013, it has grown significantly to reach more than 700 employees and is expected to continue growing in the coming years. With the continued development of technology and financial fields, BNP Paribas Canada continues to attract experts with diverse backgrounds as well as young and ambitious talent from across the globe. With the international mobility and capacity that very few companies can offer, BNP Paribas prides itself in providing a superior foundation for building a professional career - a place for people to learn, to achieve and grow.

Primary Location: CA-QC-MontréalJob Type: Standard / PermanentJob: MISCELLANEOUSEducation Level: Master Degree or equivalent (> 4 years)Experience Level: At least 5 yearsSchedule: Full-time Reference: GBA-050321-004-ND