Required skills
- ALM Modeling
- Risk Management
- Data Analysis
- Model Development
- Model Validation
- Corporate Loans
- Early Repayments
- G2++ Model
Languages: French
Job description
Join a major French banking group to work on ALM modeling for early repayments and corporate loans as part of a transformation program. The role involves model development, validation, and implementation.
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
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