CA CIB Americas

Financial director / Consolidation

★★★★★

Quantitative analyst

09 May United States, NEW YORK Perm

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 Contacts

• Structurers

• Risk department

• ALM and Treasury departments

• IT for implementation in the Bank systems

• Management

Key External Contacts

• Occasionally, Rating Agencies

Special Role Requirements


KNOWLEDGE AND SKILLS


ESSENTIAL

DESIRABLE
Qualifications/Education Required:
At least Masters degree level.

Experience Required:

Relevant financial modeling ability to at least Masters degree level.
Strong technical background:

- Monte Carlo simulation.

- Numerical optimisation. Previous experience in a financial markets area is desirable.
Competencies Required:




Strong programming skills: Python, VBA, C#, Matlab, SQL.
Strong knowledge of numerical methods such as Monte Carlo and Optimisation algorithms.

Skills & Knowledge Requirements



Good organisation and planning skills.
Strong motivation, entrepreneurship and commitment.
Strong team spirit and the ability to interact with all 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.