Analyst/Associate, Securitization Quantitative Team

1 month ago

new york city, United States Crédit Agricole CIB Full time

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.
  • Assist the structuring teams in their quantitative needs
  • 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, External Clients


Qualifications/Education Required

  • At least Master's degree level


Experience Required

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

- Cash-Flow modeling

- Monte Carlo simulation

- Numerical optimization


Desirable

  • 2 to 5 years of experience in a securitization structuring or modeling team


Competencies Required

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


Skills and Knowledge Requirements

  • 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


Desirable

  • Knowledge of securitization models and products and of the main interest rates and credit models and products
  • French - Basic/Conversational proficiency - a plus

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