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Quantitative Analyst

3 months ago

London, Greater London, United Kingdom Credit Agricole Full time
The model validation team is the essential team to ensure the viability, robustness and reliability of the FO pricing models before they can be used for production purpose. All the new FO models/methodologies or any methodological changes should be validated by the team. For each validation request, the team analyses the assumptions and the proposed model/methodology to verify the theoretical relevance to the problem it is designed to address. Then tests and analysis will be done to check the implementation as well as the behaviours of the model/methodology in terms of robustness and reliability. As long as it is possible, in particular for important pricing models, the team will re implement the model in the teamâs internal library which covers all the asset classes (IR, FX, Hybrid, equity, XVA, credit). The whole study is expected to challenge all the aspects of the model/methodology and its numerical implementation. Moreover, the team exchanges closely with FO Research team and Trading desk on a large range of topics related to models & methodologies.

In addition, the team also works closely with the RM team and provides them with technical support on all model/methodology related issues, in particular, on the various risk reports.

The team is also in charge of the governance of models/products inventory and ensures the models/products are reviewed on a regular basis in function of their complexity and materiality. The team is closely involved in the interaction with both internal and external Audit teams.

The candidate is required to possess at least a master degree level in Financial mathematics or equivalent. In particular, the candidate should be familiar with stochastic calculus (Brownian motion, Ito Lemma, numeraire change, â) and relevant numerical methods (Monte Carlo, PDE resolution, asymptotic analysis, â). In addition, the candidate should also be familiar with at least one of programming languages such as C++, Java, C# or Python as he/she will need to implement in the teamâs C++ Library. Team work is the essential part of the role and communication capacity is also required for exchanges with various teams (FO, Risk, IT, etc).

Key Responsibilities
  • Responsible for the validations for the Credit and XVA (CVA, DVA, FVA, IMVAâ).
  • Implementation of alternative pricing model, study of model risk.
  • Participate in the design, specification and implementation of the reserves / provisioning methodologies for the model risk.
  • Involved in all products / new activities within Credit and Scarce Resources Desk (pricing, risk measurementâ).
  • Quantitative support: Provide support to the risk management for all quantitative issues on P&L, sensitivities & VAR, Stressâ Others product lines (FX, equityâ): Involved if necessary in non-(Credit or XVA) quantitative issues and validation process.
  • Analytical
  • Innovative
  • Organised
  • Team orientated