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Head of ALMT modeling and AI/ML research team

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Mise à jour le 23.04.2024

In a changing world, unprecedented challenges require unmatched talent. Join one of Montreal's Top Employers in 2023. We are a dynamic and growing organization having its main establishment located in downtown Montreal and part of a leading international banking institution fully committed to building a more sustainable future. Note that the position may be in the Canadian Branch of BNP Paribas or in one of its subsidiaries based in Montreal.

The position at a glance 

ALM Treasury is a Transversal Activity within BNP Paribas Group. ALM Treasury has three operational responsibilities and two prudential mandates. The three operational responsibilities are the management of the Group's liquidity position, the management of the interest rate risk in the banking book (IRRBB) and the management of the foreign exchange risks. The prudential mandates refer to the liquidity risks linked to the Group’s profile and geographical presence, for which ALM Treasury exercises a responsibility similar to a Group function. ALM Treasury’s mandates consist in assessing the liquidity risks of the Group and protecting the Group’s signature.

ALM Treasury Americas gathers ALM Treasury North America and ALM Treasury Latam operations. ALM Treasury North America (ALMT NA) oversees the Combined US Operations (CUSO) and the Canadian activities of BNP Paribas Group. The CUSO of BNP Paribas includes the US branches and the Intermediate Holding Company of the Group (and its subsidiaries).

Within ALM Treasury Americas, the Modeling and AI/ML research is responsible for ensuring that the method employed for risk measurement and management is financially sound. The team is located in Montreal, Canada.

In detail

The Head of ALMT modeling and AI/ML research team is responsible for the direct management of a group of quantitative analysts and data scientists (2 FTEs + 1 VIE).

•Effectively manage and allocate ALMT resources to the most important risk management endeavors, ensuring that the team always fulfills its role and responsibilities (see description below)

•Ensure the hiring, onboarding, and training of new joiners to support the CUSO and Canada modeling requirements, and support the entire ALMT Americas with ad-hoc analysis and AI/ML modeling

•Contribute to enhancing modeling for the ALMT Americas organization by aligning and ensuring strong connectivity between ALMT Americas teams as well as Group ALMT teams

Role and responsibilities of ALMT modeling and AI/ML research team:

1)Liquidity and interest-rate modeling:

•Contribute to all stages of the development of statistical models to predict customer behaviour (exercise of the option of early repayments, outflow of deposits, drawdown of off-balance sheet etc.), taking into account the evolution of the economic and financial environment

•Contribute to the recurring production of backtests of existing models, ensuring delivery in a timely manner

•Execution of the quarterly calculations of operational balances %, ensuring delivery in a timely manner and that the operational controls were executed as intended

2)Design and development of quantitative tools, with extensive use of AI/ML techniques, to support decision making in the optimization of IR and liquidity risk management:

•Contribute to the development of ML/AI models use to forecast market rates (Swap curve, UST, …) and financial indicators (Inflation, market and/or economical sentiment index, …)

•Contribute to the development of optimization tool to ensure optimal allocations of liquidity buffer, WDL funding, …

3)Model Risk Management:

•Contribute to close Risk IRC, Risk ALMT and IG recommendations, in a timely manner

•Provide support to Risk IRC, Risk ALMT and IG to facilitate their review and control processes

4)Other job duties:

•Contribute to ad-hoc quantitative analyses related to liquidity and IR risk measurement

•Contribute to the modeling team's technology watch

•Contribute to the harmonization of modelling methods in the Group

•Act as a business partner and provide support to other ALMT teams (production, steering) and stakeholders (Risk, IG) on a case-by-case basis

•Ensure the organization and preparation of a couple of ALMT committees (ALMT Modeling forum, Risk recommendation tracking forum, …)

•Contribute where necessary to the annual Risk Self-Assessment for ALMT, identify and remediate any gaps relating to regulatory compliance

•Contribute to and represent ALMT Americas in Group ALMT and cross-functional AI/ML initiatives


The strengths and skills that will help you succeed

M. of Sc. or PhD with specialization in data science (ML/AI) or quantitative finance

•Minimum of 7-10 years of relevant experience

•Excellent skills in statistics and financial mathematics

•Excellent skills in one or more programming languages (Python, …)

•Excellent skills in ML/AI techniques (neural networks, generative AI, …) and associated coding tools (TensorFlow, PyTorch, …)

•Capacity to carry out a positive management of the team:

  • Ability to communicate: to inform, to listen, to transmit and share
  • Ability to delegate and to empower, to give support, to trust, to value success
  • Ability to give constructive feedback to help employee grow
  • Ability to foster collaborative and respectful working environment

•Ability to analyze and synthesize complex topics

•Excellent written and verbal communication

•Fluent English language skills

•Ability to work independently, be proactive and adapt

•Rigour and precision

•Knowledge of Microsoft Office (Excel, Word and PowerPoint)

•Knowledge of the English language is required. 

What’s in it for you

In addition to competitive compensation, we offer flexible benefits including a family and spouse insurance program, a defined contribution pension plan and paid days for volunteering. Hybrid work arrangements, such as remote working up to 50% and flexible working hours are available for most positions. BNP Paribas provides excellent training and personal development programs, as well as opportunities for career development within the company and internationally.

To find out more about our range of benefits, click here

What you need to know

  • We will review candidates as they apply, so don’t wait to submit your application; 
  • If you are selected to participate in the recruitment process, please inform Human Resources of any accommodations you may require. BNP Paribas will work with you to ensure that you are able to participate fully in the process;
  • You must be legally eligible to work in the Greater Montreal area and, if applicable, hold a valid work or study permit. Physical presence in BNP Paribas’ office(s) is an essential function of this position; 
  • Given the vast majority of our clients, both internal and external, are based outside of Quebec and Canada, specific language requirements may apply. These will be clearly mentioned in the qualifications of the position;

Diversity, Equity and Inclusion (DE&I) at the heart of our commitments

At BNP Paribas all employees are on an equal footing allowing us to create a work environment that values and respects people for their talents, skills and competences.

BNP Paribas recruits, employs, trains, compensates and promotes regardless of race, religion, colour, national origin, sex, disability, age, and other protected status (Employment Equity Act and Canadian Human Right Act).

To learn more about our DE&I commitments, click here

About us

BNP Paribas is the top bank in the European Union and a major international banking establishment. Present in 65 countries, with more than 190,000 employees, the bank holds key positions in several areas of banking and financial services.

BNP Paribas’ mission is to contribute to a responsible and sustainable economy by financing and advising its clients according to the highest ethical standards, while striving to respond to essential concerns in terms of the environment, regional development and social inclusion.

Since 1961, BNP Paribas has supported large Canadian companies and institutions in their business development by offering a full range of specialized financial services and investment products.

With over 1,200 employees, BNP Paribas in Canada continues to attract experts from diverse fields as well as ambitious young talent from around the world. We are proud to offer our employees a rewarding and international workplace where they can build their professional careers by honing their skills, meeting challenges and enriching their knowledge of the financial industry.

Our certifications and partnerships

  • Montreal Top Employer 2023
  • Canada's Best Diversity Employer 2023
  • Women in Governance  – Parity certified -  Gold certification
  • CCDI Consulting Inc. (Canadian Center for Diversity and Inclusion)
  • Pride at Work Canada
  • Rainbow Accreditation issued by Canada’s LGBT+ Chamber of Commerce (CGLCC)
  • ROSEPH – Grouping of specialized organizations for the employment of persons with disabilities
  • IndigenousWorks
  • Part of Les Affaires top 300 companies in Quebec

Do you want to discover other BNP Paribas offers in Canada?

Click here: BNP Paribas in Canada Our job offers

** Only selected applications that meet the requirements of the role will be contacted **

Découvrez les métiers de BNP Paribas : IT, Tech et Data

Au-delà d’être un groupe financier, BNP Paribas est aussi une entreprise technologique. Les systèmes d’information, la data et les outils sont au cœur de notre ADN et offrent de nombreuses opportunités professionnelles !

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Pourquoi je candidaterais ?

Pour quelles raisons je rejoindrais BNP Paribas et pas une autre entreprise ?

Parce que je souhaite...

  • Et si on vous disait que travailler dans notre Groupe, ce n’est pas ce que vous croyez ? Chez BNP Paribas, on exerce une multitude de métiers qui évoluent en permanence pour être en phase avec les attentes des clientes et clients comme de la société. Au travers d’actions du quotidien ou de grands projets, exercer l’un de nos métiers, c’est s’engager pour agir durablement.

  • Se sentir bien dans son job, c’est avant tout venir travailler comme on est.  C’est aussi avoir les moyens d’un bon équilibre entre sa vie professionnelle et sa vie personnelle. Deux engagements majeurs pour BNP Paribas.

  • Chez BNP Paribas, le développement de vos compétences est essentiel, pour vous comme pour nous. Et cela vous servira pour toute votre vie professionnelle.

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