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Securitization Quantitative Analyst

1 month ago


New York, New York, United States Crédit Agricole CIB Full time

About the Role

Crédit Agricole CIB is seeking a skilled Quantitative Analyst to join its Securitization Quantitative Team. As a key member of the team, you will be responsible for ensuring the correct and robust implementation of the Bank's securitization models in compliance with internal methodologies for rating securitization exposures.

Key Responsibilities

  • Assist the structuring teams in their quantitative needs and contribute to the team effort to improve internal models and measure their efficiency.
  • Take charge of modeling 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 in a relevant field.

Experience Required

  • Relevant financial modeling ability to at least Master's 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.