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

Quantitative Analyst


Vacancy details

General information

Entity

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 2019). Nearly 8,400 employees 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

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

Reference

2020-46143  

Publication date

02/03/2020

Job description

Business type

Types of Jobs - Corporate & Investment Banking

Contract type

Permanent Contract

Job summary

Key Responsibilities

  • Ensure correct and robust implementation of the models within the bank’s relevant systems, including dealing correctly with the following aspects of the trade:

-Deal with events that affect the valuation;

-Provide relevant risk measures to the system that may go -beyond the traditional “Greeks”;

-Optimize the code for fast performance.

  • Make efforts to remain aware of the relevant modelling, pricing and computing technology progresses.
  • Discuss and share quantitative and qualitative ideas with other members of the team.
  • Ensure periodic delivery of new and/or improved quantitative tools, some to be embedded in the bank’s trading and valuation systems
  • Maintain regular discussions with IT and RM (Market Risk) locally.
  • Liaise daily with the Trading desks.
  • Liaise daily with other members of the QR team.

Strategy and Business Planning

Develop mathematical models for derivatives pricing, for well-known contracts, to improve pricing accuracy and risk management, as well as for new contracts to enhance the range offered by the bank.

Ensure that such models are adequate for both pricing and hedging transactions from trade inception to expiration, for example, take into account any market risk, and find strategies to deal with it.

Document and explain models to the risk department if they become used for daily production.

Implement models in numerically stable and fast algorithms.  These algorithms need to be:

efficient and robust;
simple to back-test;
easy for a trading desk to understand and use.
  Create presentations and provide training on the products and tools developed.


 Management and Reporting

  • Report to the Head of Cross-Asset quantitative research on an informal basis on the progress of the business and specific issues.
  • Provide a weekly status report summarizing the week’s achievements.

    Counterparties and Clients

    Key Internal Contacts

  • Traders for building and supporting pricers, models and tools.
  • Structures for rating tools. 
  • Validation team (MRA) for model validation.
  • IT for implementation of the pricers into the bank systems.

    Key External Contacts

     Not applicable.
     

Systems Used

Internal
Outlook, Office, Intranet, Visual Studio, Scientific Word.

External systems
Internet.

 Legal and Regulatory Responsibilities

  • Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the local Compliance manual and Compliance policies and procedures as issued from time to time; Financial Security requirements, including, but not limited to, the prevention of Financial Crime and Fraud including reporting obligations to the Money Laundering Reporting Officer.
  • Maintain appropriate knowledge to ensure to be fully qualified to undertake the role. Complete all mandatory training as required to attain and maintain competence.

Position localisation

Geographical area

Europe, United Kingdom

City

London

Candidate criteria

Minimal education level

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

Academic qualification / Speciality

At least Masters degree level.

Required skills

Successful experience in quant position

Good organisation and planning skills.
Strong motivation, entrepreneurship and commitment.
Strong team spirit and the ability to interact with all other team members and with rating agencies.
Ability to work under time constraints.
Good communication skills, both oral and in writing.
Autonomy.

Technical skills required

Strong programming skills: C++, VBA.