Associate - Securitization Quantitative Team

Job description

Business type

Types of Jobs - Finance / Accounting

Job title

Associate - Securitization Quantitative Team

Contract type

Permanent Contract

Job summary

Overview

Crédit Agricole CIB offers its clients a large range of products and services in capital markets, investment banking, structured finance and corporate banking.

The Corporate and Investment Bank is structured around six major divisions :

• Global Markets
• Client Coverage & International Network
• International Trade & Transaction Banking
• Global Investment Banking
• Structured Finance
• Debt Optimization and Distribution

The Bank provides support to clients in large international markets through its network with a presence in major countries in Europe, America, Asia Pacific and the Middle East.

Global Markets handles all sales and trading activities on the primary and secondary markets (rates, credit, foreign exchange, fixed-income, securitization and treasury) for products designed for corporates, financial institutions and large issuers.

These trading and sales entities are supported by dedicated research departments.

The Securitization product line within the Global Markets division revolves around the origination and structuring of financing solutions backed by assets or cash flows for the clients of Crédit Agricole CIB.

Securitization is a global product line offering all types of trading based on any type of asset or cash flow :

• without recourse or with very limited recourse to seller;
• with direct execution (cash flow ABS, project bonds, long-term ABS) or indirect execution (channels).

Key Responsibilities

• Ensure correct and robust implementation of the Bank securitization models in compliance with the internal methodologies for rating securitization exposures.
• Contribute to the team effort to improve internal models and measure their efficiency.
• Take in charge the modeling of securitization transactions in which the Bank takes part and contribute to the internal credit process.
• Handle capital requirement, liquidity costs and profitability indicator calculations for multiple asset classes.
• Contribute to the team research efforts on prospective asset classes (quantitative and regulatory analysis).
• Remain aware of Rating Agency’s publications and contribute to answering Request for Comments.

Counterparties and Clients

Key Internal ContactsStructurersRisk departmentALM and Treasury departmentsIT for implementation in the Bank systemsManagement

Key External Contacts

Occasionally, Rating Agencies, External Clients

Salary

115k-125k

Position location

Geographical area

America, United States Of America

City

NEW YORK

Candidate criteria

Minimal education level

Postgraduate degree MA / MSc / PhD / Doctorate or equivalent

Academic qualification / Speciality

At least Master's degree level

Level of minimal experience

3-5 years

Experience

• Relevant financial modeling ability to at least Master's degree level.
• Strong technical background : Monte Carlo simulation.Numerical optimization.
• Previous experience in a financial markets area is desirable.

Required skills

• Strong programming skills : Python, VBA, SQL, Excel Modeling.
• Strong knowledge of numerical methods such as Monte Carlo and Optimization algorithms.
• Mathematics, Statistics.

Technical skills required

• Good organization and planning skills.
• Strong motivation, entrepreneurship and commitment.
• Strong team spirit and the ability to interact with other team members and with rating agencies.
• Ability to work under time constraints.
• Good communication skills, both oral and in writing.
• Autonomy.
• Knowledge of securitization models and products and of the main interest rates and credit models and products.
6 days ago