Quantitative Risk Analyst

3 days ago

London, Greater London, United Kingdom Crédit Agricole CIB Full time
Job Description

Job Title: Quantitative Analyst

Business Type: Financial Services

Job Summary: We are seeking a highly skilled Quantitative Analyst to join our team at Crédit Agricole CIB. The successful candidate will be responsible for validating credit and XVA pricing models, implementing alternative pricing models, and providing quantitative support to the risk management team.

Key Responsibilities:

  • Validate credit and XVA pricing models to ensure their viability, robustness, and reliability.
  • Implement alternative pricing models and study model risk.
  • Participate in the design, specification, and implementation of reserves/provisioning methodologies for model risk.
  • Provide quantitative support to the risk management team on P&L, sensitivities, and VAR.
  • Involved in non-credit/XVA quantitative issues and validation process for other product lines.

Requirements:

  • Master's degree in Financial Mathematics or equivalent.
  • Deep knowledge of credit derivatives pricing models.
  • Good knowledge of credit, CVA, DVA, and FVA pricing methods.
  • Strong analytical, innovative, and organized skills.
  • Team-oriented and able to work closely with various teams.
  • Strong skills in mathematical finance, C++ programming, and ability to program in a common library project.
  • Python, VBA programming skills.
  • English language proficiency.

Confidentiality: The successful candidate will be required to sign a confidentiality agreement to protect sensitive information.

Legal and Regulatory Responsibilities: The candidate must comply with all applicable legal, regulatory, and internal Compliance requirements.

Position Location: Europe, United Kingdom

City: London

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