General information
Entity
About Crédit Agricole Corporate and Investment Bank (Crédit Agricole CIB)
Crédit Agricole CIB is the corporate and investment banking arm of Crédit Agricole Group, the 10th largest banking group worldwide in terms of balance sheet size (The Banker, July 2022).
8,600 employees in more than 30 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 market 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
2022-74474
Update date
08/12/2022
Job description
Business type
Types of Jobs - Risk Management / Control
Job title
Quantitative Model Validation Analyst
Contract type
Permanent Contract
Job summary
Responsibilities:
Perform the model validation as per the validation guidelines and the regulation requirements, with a focus on market risk, ALM and compliance models.
Effectively and independently challenge the decisions made during development, follow-up and use of models focusing in particular on:
- the model compliance with Group standards and banking regulations,
- the quality of model documentation, associated risks, scope, uses and impact assessment,
- the justification of assumptions and methodological choices, stability and robustness of estimation methods or parameters calibration,
- the data quality used for modeling,
- the implementation tests results in the systems,
- the comparison, where possible, with best practices.
Write a validation report presenting the analyses of the model, the tests, the results, the identification and quantification of model risks, and an independent opinion on the model including recommendations actions to mitigate model weaknesses.
Archive validation materials (data, spreadsheets, computer code) to ensure auditability by internal and external audit teams.
Organize the discussions with model owners, developers and users throughout the validation process and communicate the conclusions within internal governance framework.
Salary range: $150,000 - $160,000
Position location
Geographical area
America, United States Of America
City
NEW YORK
Candidate criteria
Minimal education level
Postgraduate degree – MA/MSc/PhD/Doctorate or equivalent
Academic qualification / Speciality
Master of Science (MsC) applied to finance/engineer or related field
Level of minimal experience
3-5 years
Experience
3/5 years of experience on modelling or model validation, at least partially for market operations.
Required skills
-Mathematical finance and statistics.
-Programming skills (Python, VBA, R)
- Good communication skills oral and written with capacity to adapt the message to the interlocutor level (modeling expert, users, managers, and auditors)
- Knowledge of banking regulations and standards on model validation and model risk management
- Rigor, reliability, capacity to synthetize, and pedagogy
- French would be a plus