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Quantitative Analyst


Vacancy details

General information

Entity

About Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB)

Crédit Agricole CIB is the corporate and investment banking arm of Credit Agricole Group, the 12th largest banking group worldwide in terms of tier 1 capital (The Banker, July 2021). Nearly 8,600 employees across Europe, the Americas, Asia-Pacific, the Middle East and Africa support the Bank's clients, meeting their financial needs throughout the world. Crédit Agricole CIB offers its large corporate and institutional clients a range of products and services in capital markets activities, investment banking, structured finance, commercial banking and international trade. The Bank is a pioneer in the area of climate finance, and is currently a market leader in this segment with a complete offer for all its clients.


For more information, please visit www.ca-cib.com

Twitter: https://twitter.com/ca_cib
LinkedIn: https://www.linkedin.com/company/credit-agricole-cib/
  

Reference

2021-57549  

Update date

18/08/2021

Job description

Business type

Types of Jobs - Corporate & Investment Banking

Job title

Quantitative Analyst

Contract type

Permanent Contract

Job summary

Summary

In charge of model validation within RPC / MCR / MRA London team.

 

Key Responsibilities

 

Responsible for the Validation of pricing models used within the Forex activity.

Involved in the validations for the Scarce Resources Desk XVA (CVA, DVA, FVA…).

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 Forex and Scarce Resources Desk (pricing, risk measurement…).

Quantitative support: Provide support to the risk management for all quantitative issues on P&L, sensitivities & VAR, Stress…

Others product lines (Credit Derivatives, XVA, …): Involved if necessary in non-FX quantitative issues and validation process.

 

 

Confidentiality – if applicable

Ø  You may become aware of information of a confidential nature relating to the documents you work on. You shall treat any and all information as strictly confidential and will not release, disclose or divulge any or all of such information to any other person, including (but without limiting the foregoing) any employer, potential employer, journalist, recruitment consultant, educational establishment, friend, acquaintance or relative

Ø  you shall not take or make copies of or reproduce in any manner any Information whether by photocopy, photograph, in written form, computer disk or audio tape or by any other means or upon any other media, nor shall you compile or make notes of or abbreviate any of the Information in any manner whatsoever

Ø  You agree and acknowledge that any release, disclosure, divulgence or use of any or all of the Information shall cause serious damage and harm to CRÉDIT AGRICOLE CIB or any Group Company.

Ø  You agree to comply with all applicable laws, regulations, codes and any policies and procedures (including but not limited to the compliance handbook) that CRÉDIT AGRICOLE CIB or any Group Company issues from time to time and which apply to you and failure to do so may result in the termination of the engagement

 

 

Legal and Regulatory Responsibilities

 

·          Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and the Financial Crime Policy.

 

·          Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as required to attain and maintain competence.

 

Key Internal contacts

 

 

Key External contacts

 

 

Position location

Geographical area

Europe, United Kingdom

City

London

Candidate criteria

Minimal education level

Bachelor Degree / BSc Degree or equivalent

Academic qualification / Speciality

Essential:

Education to degree level.

Strong skills in mathematical finance.

 

Desirable:

A PhD in a quantitative subject is a plus.

Required skills

Essential:

-       Experience in dealing with exotic derivatives.

 

Desirable:

-       Good Knowledge of FX pricing models for mono-currency pairs and multi-currency pairs.

Technical skills required

Essential:

Analytical, innovating, planning, team working and independence

-       Strong skills in mathematical finance.

Strong skills C++ programming and ability to programme in a common library project.

Desirable:

 

Python, VBA programming.