Quantitative Analyst

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

PM Americas (“PMA”) is a part of Global Banking Americas (“GBA”) within the Corporate and Institutional Banking (“CIB”) activity, covering both Corporate as well as Financial Institutions (FI) clients.  The scope of this transversal department covers includes the United States, Canada and Latin America. Similar teams covering other regions are located in EMEA and APAC. PMA is currently composed of three teams with all staff located in NY and Montreal: Origination & Active Management, Credit Solutions & Product Engineering and Portfolio Analytics & Modelling (“PAM”).

The main mission of PM is to contribute to risk return optimization at Origination, toactively 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.

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 and FI 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
• Maintain an expertise center for methodologies in credit risk-return and value creation (RWA, RAROC, CVC, EVC) for GBA
• 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 periodic review of the key financial resources consumption across the Corporate and FI 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 Corporate and FI Coverage, Global  Credit Markets (“GCM”), Global Banking ALMT Americas, Finance, Legal, Compliance, Global Markets and other regional PM teams.

In detail

• Maintain and update Portfolio Management proprietary tools needed by the regional PM team, evolving into responsibility for design and development of additional tools as needed.
• Maintenance and administration of mission critical SQL database, and daily generation of loan exposure (RED) report.
• Monitoring and quarterly re-loading of synthetic securitization portfolios.
• Work closely with PAM 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 those positions.
• 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 periods.
• 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.

Additional Responsibilities depending on experience

• Investigate and develop portfolio and structured solutions to transfer credit risk to third parties – first-loss CLNs, synthetic securitization.
• Pricing of vanilla and structured credit products.

The strengths and skills that will help you succeed

• MS/MSc in a software or quantitative field such as Mathematics, Statistics, Computer Science or Computer Engineering.
• 5+ years of post-MS/MSc experience in programming in Python, VBA, MySQL and any other object oriented programming languages.
• Some experience with data visualization tools and methodologies.
• Excellent knowledge of Microsoft Excel.
• Organized, teamwork, strong analytical mind-set.
• Knowledge of the English language is required.

Preferred qualification:

• 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, modelling and current and future regulatory framework would be helpful.
• Knowledge of Volcker and French Banking Law affecting banks’ Active Management of their portfolio.
• Knowledge of statistics and experience using statistical packages for analysing datasets a plus.

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 **