Head of Almt Modeling and Ai/ml Research Team

2 weeks ago

Montréal, Canada BNP Paribas Full time

HEAD OF ALMT MODELING AND AI/ML RESEARCH TEAM (JOB NUMBER: ALMT-021224-004-SOS)

In a changing world, unprecedented challenges require unmatched talent. Join one of Montreal's Top Employers in 2023. We are a dynamic and growing organization having its main establishment located in downtown Montreal and part of a leading international banking institution fully committed to building a more sustainable future. Note that the position may be in the Canadian Branch of BNP Paribas or in one of its subsidiaries based in Montreal.

**The position at a glance**

ALM Treasury is a Transversal Activity within BNP Paribas Group. ALM Treasury has three operational responsibilities and two prudential mandates. The three operational responsibilities are the management of the Group's liquidity position, the management of the interest rate risk in the banking book (IRRBB) and the management of the foreign exchange risks. The prudential mandates refer to the liquidity risks linked to the Group’s profile and geographical presence, for which ALM Treasury exercises a responsibility similar to a Group function. ALM Treasury’s mandates consist in assessing the liquidity risks of the Group and protecting the Group’s signature.

ALM Treasury Americas gathers ALM Treasury North America and ALM Treasury Latam operations. ALM Treasury North America (ALMT NA) oversees the Combined US Operations (CUSO) and the Canadian activities of BNP Paribas Group. The CUSO of BNP Paribas includes the US branches and the Intermediate Holding Company of the Group (and its subsidiaries).

Within ALM Treasury Americas, the Modeling and AI/ML research is responsible for ensuring that the method employed for risk measurement and management is financially sound. The team is located in Montreal, Canada.

**In detail**

The Head of ALMT modeling and AI/ML research team is responsible for the direct management of a group of quantitative analysts and data scientists (2 FTEs + 1 VIE).
- Effectively manage and allocate ALMT resources to the most important risk management endeavors, ensuring that the team always fulfills its role and responsibilities (see description below)
- Ensure the hiring, onboarding, and training of new joiners to support the CUSO and Canada modeling requirements, and support the entire ALMT Americas with ad-hoc analysis and AI/ML modeling
- Contribute to enhancing modeling for the ALMT Americas organization by aligning and ensuring strong connectivity between ALMT Americas teams as well as Group ALMT teams

Role and responsibilities of ALMT modeling and AI/ML research team:
1)Liquidity and interest-rate modeling:

- Contribute to all stages of the development of statistical models to predict customer behaviour (exercise of the option of early repayments, outflow of deposits, drawdown of off-balance sheet etc.), taking into account the evolution of the economic and financial environment
- Contribute to the recurring production of backtests of existing models, ensuring delivery in a timely manner
- Execution of the quarterly calculations of operational balances %, ensuring delivery in a timely manner and that the operational controls were executed as intended

2)Design and development of quantitative tools, with extensive use of AI/ML techniques, to support decision making in the optimization of IR and liquidity risk management:

- Contribute to the development of ML/AI models use to forecast market rates (Swap curve, UST,) and financial indicators (Inflation, market and/or economical sentiment index,)
- Contribute to the development of optimization tool to ensure optimal allocations of liquidity buffer, WDL funding,

3)Model Risk Management:

- Contribute to close Risk IRC, Risk ALMT and IG recommendations, in a timely manner
- Provide support to Risk IRC, Risk ALMT and IG to facilitate their review and control processes

4)Other job duties:

- Contribute to ad-hoc quantitative analyses related to liquidity and IR risk measurement
- Contribute to the modeling team's technology watch
- Contribute to the harmonization of modelling methods in the Group
- Act as a business partner and provide support to other ALMT teams (production, steering) and stakeholders (Risk, IG) on a case-by-case basis
- Ensure the organization and preparation of a couple of ALMT committees (ALMT Modeling forum, Risk recommendation tracking forum,)
- Contribute where necessary to the annual Risk Self-Assessment for ALMT, identify and remediate any gaps relating to regulatory compliance
- Contribute to and represent ALMT Americas in Group ALMT and cross-functional AI/ML initiatives

**The strengths and skills that will help you succeed**

M. of Sc. or PhD with specialization in data science (ML/AI) or quantitative finance
- Minimum of 7-10 years of relevant experience
- Excellent skills in statistics and financial mathematics
- Excellent skills in one or more programming languages (Python,)
- Excellent skills in ML/AI techniques (neural networks, generative AI,) and

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