MISSION AND OBJECTIVES
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 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).
Production, Analytics & Standards – Modeling (Canada):
Within ALMT NA the Modeling team is responsible for ensuring that the method employed for risk measurement and management is financially sound. The Modeling Quantitative Analyst will be responsible for assessing new modeling methodologies for implementation in the risk management practice and provide opinion on modeling and risk management of banking and derivative products.
• You will contribute to 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.
• You will contribute to backtesting and measuring the performance of existing models
• You will contribute to specific quantitative studies, for example
-Analysis of the economic value of varied and complex financial products
-Simulation of the bank’s balance sheet, results and value
• You will contribute to projects for modelling interest rate curves (valuation of financial instruments using Monte Carlo methods, calculation of the sensitivity of the economic value of the bank’s balance sheet, simulations of future results)
• You will contribute to the estimation and analysis of variance/covariance and correlation matrices, and to principal component analysis (PCA)
Other Job Duties
• You will contribute to drafting documentation for modelling projects
• You will contribute to the team’s technology watch
• You will contribute to the harmonization of modelling methods in the Group
TRAINING AND OCCUPATIONAL EXPERIENCE
• You are a beginner or you are just starting out in one of these areas.
• Diploma with specialization in mathematics applied to finance, or in statistics/machine learning
ESSENTIAL SPECIFIC REQUIREMENTS
• Excellent skills in financial mathematics and statistics
• Excellent skills in one or more programming languages (C/C++, Python, R)
• Ability to analyze and synthesize
• Excellent written and verbal communication in English and French• Fluent English language skills
• Ability to work independently, be proactive and adapt
• Rigour and precision
• Knowledge of Microsoft Office (Excel, Word and PowerPoint)
SKILLS AND BEHAVIOURS
• Ability to work in project mode
• Knowledge of QRM, AFT or Intex is 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.