Quant Senior – ALM Modeling / G2++ / Interest Rate Risk

Project overview

Our client is looking for a Senior Quant Consultant – ALM Modeling / G2++ / Interest Rate Risk (M/F) as part of a freelance mission.

Within the ALM Department of a banking group, the mission is part of a remediation program for financial models and a response to audit recommendations. The work primarily concerns early repayment and renegotiation models (RA/RE), as well as updating the corporate credit commitment model.

Evaluate the impacts of different approaches on the modeling of early repayment and renegotiation behaviors.

Deliverables

• Analyze the audit recommendation regarding the link between RA/RE models and the stochastic diffusion of rates.
• Perform G2++ model calibrations under risk-neutral and historical probabilities.
• Calculate EVE (Economic Value of Equity) sensitivities according to the two calibration approaches.
• Compare the results obtained with currently measured sensitivities and analyze the discrepancies.
• Rework and convert existing quantitative models developed in VBA and C# to Python.
• Update the corporate credit commitment model, from data extraction to its validation and implementation.
• Document modeling work and methodological choices in accordance with internal procedures.
• EVE sensitivity measurements with G2++ calibration under risk-neutral and historical probabilities.
• Comparative analysis note of the two calibration approaches and their impacts on EVE sensitivity.
• Comparison of the results obtained with currently measured sensitivities.
• Updated and documented corporate credit commitment model.
• Operating procedure for the development of the corporate credit commitment model.

Project details

• Start: flexible
• Remote: hybrid
• Location: Paris, France, FR
• Rate: 100-100 EUR/h
• Languages: French