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Quantitative Analyst


Vacancy details

General information

Entity

Crédit Agricole CIB is the corporate and investment banking arm of Credit Agricole Group, the 13th largest banking group worldwide in terms of tier 1 capital (The Banker, July 2018). Nearly 8,000 employees in 34 countries across Europe, the Americas, Asia-Pacific, the Middle East and North 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
  

Reference number

2018-35387  

Publication date

11/02/2019

Job description

Business type

Types of Jobs - Corporate & Investment Banking

Complementary business types

Types of Jobs - Risk Management / Control

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)

Involved if necessary in non-(FX or XVA) quantitative issues and validation process is necessary.

 

Management and reporting

Reporting to the Head of MRA in London.

 

Salary: Competitive

Closing date: 04 March 2019

 

 

Job 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.
Strong skills in mathematical finance.

Desirable Qualification:
A Mater degree in a quantitative subject is a plus.

Required skills

Experience Essential:

-Experience in dealing with exotic derivatives.
-Deep knowledge of FX pricing models for mono-currency pairs and multi- currency pairs.
-Good knowledge of CVA, DVA, and FVA pricing methods.

Competencies Required:
Analytical, innovating, planning, team working and independence.

Technical skills required

Skills Essential:
Strong skills in mathematical finance
Strong skills in C++ programming and ability to programme in a common library project.

Skills Desirable:
Matlab programming