Pause
Lecture
Moteur de recherche d'offres d'emploi Crédit Agricole CIB

Quantitative Analyst - Credit and XVA


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

2021-59788  

Update date

01/12/2021

Job description

Business type

Types of Jobs - Corporate & Investment Banking

Job title

Quantitative Analyst - Credit and XVA

Contract type

Permanent Contract

Job summary

Summary

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

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 team’s 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 technical support on all model/methodology related issues, in particular, on the various risk reports.

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

The candidate is required to have 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, …) and relevant numerical methods (Monte Carlo, PDE resolution, asymptotic analysis, …). 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 team’s 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, IMVA…).

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 measurement…).

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

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

 

 

Position location

Geographical area

Europe, United Kingdom

City

London

Candidate criteria

Minimal education level

Bachelor Degree / BSc Degree or equivalent

Academic qualification / Speciality

Education to degree level, however candidates with the required skill set will

be considered.

Strong skills in mathematical finance.

 

Desirable:

- A PhD in a quantitative subject is a plus.

Required skills

Experience required:

- Experience in dealing with exotic derivatives.
- Deep knowledge of Credit derivatives pricing models.
- Good knowledge of Credit, CVA, DVA, and FVA pricing methods

 

Competencies

- Analytical, innovating, planning, team working and independence.

- Strong skills in mathematical finance.
 

Technical skills required

Essential:

- Strong skills in mathematical finance.

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

 

Desirable:

Python, VBA programming.