Analyst Quantitatif de Crédit - Fixed Income (H/F)

  • Commerce / Vente
  • Ile-de-france
  • A négocier

Description

Analyst Quantitatif de Crédit - Fixed Income (H/F)

Description de l'entreprise

Natixis is the corporate, investment, insurance and financial services arm of Groupe BPCE, France's 2nd-largest banking group. With more than 16,000 employees, Natixis specializes in three main business lines: Corporate & Investment Banking, Investment Solutions & Insurance, and Specialized Financial Services.

You join Fixed Income Quantitative Research team, dedicated to Front Office Credit business line for modelling & pricing purposes.

Poste et missions

Main activities:

- Development of relevant pricing models & quantitative tools for Credit and interest rates forex hybrid businesses.
- Review & upgrade of existing pricing/simulation frameworks to new business needs.
- Follow-up of model validation procedure & integration within systems.
- Support to Trading, Structuring & Sales on product description, model calibration/running & hedge calculation/optimization.
- Support to Risk department on model validation tests, stress scenario definition & regulatory indicator calculation/simulation.

Global motivation:
- Streamline processing of requests & increased interaction with Trading, Structuring & other teams.
- Further technology watch & model improvement according to new market practices.

Credit business:
- Modelling & pricing of exotic & structured bonds, typically Additional Tier1 & Coco bonds.
- Development of competitive Gap risk assessment & monitoring tools (a correct handling of such a risk is critical for the fair valuation & management of digital credit structures).
- Implementation of alternative default intensity model, as requested by Risk department in order to prevent unexpected negative intensity scenarios.

Rates-Credit hybrid business :
- Review & upgrade of Generic Pricer tool in order to properly integrate Credit asset class & correlate it with other asset classes.
- Development of appropriate calibration tools for Credit asset class within a hybrid framework.
- Description, implementation and testing of new requested hybrid payoffs.

Main internal & external relations:

Internal (Credit & IR FX Front-Office): Trading, Structuring & Sales.
- External: IT & Project Management  division, Risk & Equity Markets departments (as needed).

Profil et compétences requises

Education:

- You are high level educated in Capital Market Finance with 3-years experience in Credit quantitative modelling,able to work/share with others & deliver on time.

General and specific skills:

- Mathematical (stochastic calculus, numerical methods), financial (options, defaultstructures) & programming (object-oriented languages).
- Credit & hybrid markets, with dedicated products (CDS, CLN, TRS, CCDS, …).
- C++ & VBA language programming.
 

Geographical location:  47, quai d’Austerlitz 75013 Paris

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