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Collateral & XVA 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

2022-66952  

Update date

14/06/2022

Job description

Business type

Types of Jobs - Corporate & Investment Banking

Job title

Collateral & XVA Quantitative Analyst

Contract type

Permanent Contract

Management position

No

Job summary

 
Summary
 

The candidate will be sitting within the XVACCR, Collateral & Credit Quantitative Research. The mandate of the quant team: is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral and Credit topics. The quant team regularly interacts with a broad scope of internal clients:

  • XVA and Scarce Resources desk for XVA pricing and modelling
  • Risk department for Internal & Regulatory CCR, Accounting XVA, and SIMM
  • Collateral desk for discounting, SIMM and IMVA with CCPs
  • Trading and Risk Management for Credit derivatives.

The quant team closely works with the business to study and assess the models’ behaviour and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA …) and metrics needed to manage our XVA reserves properly.

The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimised architecture. The team is also actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects.

supporting the ‘XVA and Scarce Resources Management ‘and ‘Collateral Management’ functions. 

 Key Responsibilities

  • Efficiency and accuracy of developments
  • Reactivity in the function of supporting library users
  • Innovation in models and numerical pricing techniques
  • Trading, RPC and IT partners support
  • Models, methods, products implementation in the QR library/tools

Legal and Regulatory Responsibilities

Ensure adherence with regard to internal CA-CIB compliance guidelines and governing agency rules and regulations.

Position location

Geographical area

Europe, United Kingdom

City

London

Candidate criteria

Minimal education level

Postgraduate degree – MA/MSc/PhD/Doctorate or equivalent

Academic qualification / Speciality

Master degree in Computer Science or Engineering or equivalent experience

Required skills

  • Strong team orientation, ability to work alone and highly self-motivated
  • Able to adapt and learn new technologies quickly
    Results and time oriented
  • Excellent analytical and problem-solving abilities
  • Creative, can devise and implement multiple solutions
  •  Good communication skills - both verbal and written

Technical skills required

  • Previous experience XVA and/or Credit

  • Strong knowledge of numerical methods such as: Monte Carlo, Optimization algorithms, … .

  • Knowledge of SIMM and XVA.

  • High programming skills (C++, C# , VBA, Java, SQL …).
    Recent experience and strengths in most of the following:
    • Microsoft products: Office,  VBA, VC++
      XLL, COM technologies
    • Java, SQL, Access, Oracle
    • Web technologies: XML, XSLT