Senior ALM Modeler - Early Repayments, Corporate Loans

Project overview

Mission Modalities

Context

A major French banking group is deploying a transformation program to strengthen its steering and execution capabilities. Within this framework, the ALM modeling department is accelerating its remediation plan and overhauling several significant bank models, particularly to address audit recommendations open for over two years.

• Start Date: ASAP
• Duration: Long-term mission
• Remote Work: 2 days per week

Responsibilities

• Take over the early repayment and renegotiation (RA/RE) model in response to a recommendation from the Risk Management Department
• Articulate the modeling of renegotiations (historical probability) with the diffusion of rates (risk-neutral probability, G2++ model)
• Update the corporate loan commitment model, respecting the set schedule
• Cover the entire model lifecycle: requirements definition, data extraction, development, validation, implementation
• Produce complete documentation in compliance with internal protocols, ensuring traceability of assumptions, methodological choices, and results
• Work with other relevant departments and entities of the Group

Project details

• Start: flexible
• Remote: hybrid
• Location: Paris, France, FR
• Rate: 88-88 EUR/h
• Languages: French