Crédit Agricole CIB (CA-CIB) Canada is the home of Crédit Agricole CIB Canada Branch and Crédit Agricole Services & Operations.

The Canada Branch has offices in Montreal and Toronto providing financial services to Canadian Financial Institutions, Banks, Pension Funds & SSA and to large Canadian headquartered international corporations.

Crédit Agricole Services & Operations is hosting a part of all Crédit Agricole CIB’s support functions, from KYC, Back Offices, Risk, IT, Legal or Finance supporting our growing operations in the Americas and complementing our European and Asian operations platforms in a “follow the sun” approach.

When you join CA-CIB Canada, you are joining a certified Great Place to Work employer, and a highly engaged workforce.

Position Summary:

In charge of validating the pricing models for Cross Assets products and calculating XVAs in the Market Risk Analytics (MRA) model validation team.

Key Responsibilities :

The objective of this position is to validate the pricing models for the Cross Assets products and the calculation of XVA, he reports to the MCR/MMRW/MRA manager in charge of the validation of Cross Assets, Credit and XVA products. His role covers the entire validation of the pricing models used to price Cross Assets products as well as the calculation of XVAs that can integrate multiple model components on different risk classes (Indices and Equities, interest rates, FX, Credit, etc.).

Primary Responsibilities:

• In charge of validating pricing models for Cross Assets and XVA products in accordance with the model validation procedure.
• He/she will ensure communication with all clients of the MRA model validation team (FO Quants, Traders, Risk Manager) and follow the validation schedule in accordance with the objectives of the XVA/Cross Assets and cross-functional product activities and other risk requirements, such as the Annual Review, the Activity Report or any other risk requirements.
• He will ensure the development of the internal pricing library of the model validation team (VLib) in accordance with the internal governance of the library.
• He will ensure the homogeneity of validation requirements between product lines and share all knowledge.

Additional responsibilities:

• Active monitoring of NAP and CSTC processes within the scope of responsibility;
• Ensure application and compliance with the CACIB and CA Group model governance;
• Ensure regular communication with other MCR stakeholders; Support the market risk management teams of these cross-asset and cross-functional product lines for all quantitative aspects

Legal and regulatory responsibilities:

• Comply with legal obligations, regulations and compliance issued by the group;
• Maintain up-to-date knowledge to ensure you are qualified for the position. Complete mandatory training in order to achieve and maintain the required competencies.

Management and reporting:

• Hierarchical Reporting: Christophe Santune, Director, CASO Montreal – Head of CASO Risks
• Functional reporting and reporting: Benoit Rodriguez, CACIB Paris – RPC MCR MRA

Key internal contacts:

• Front Office Trading
• Front Office Quantitative Research Team
• Risk managers of the respective business lines
• IT

Key external contacts:

Statutory Auditors / General Inspection / Regulator when necessary

Master's degree in quantitative finance

• Minimum 3 years of experience in a similar field
• Excellent knowledge of financial mathematics

• Ability to manage projects on time
• Analytical and synthesis skills
• Rigor and organizational skills
• Sense of result and priorities
• Autonomy
• Ability to cooperate / Transversality
• Expertise on financial instruments and market products: pricing, understanding and measurement of risks,
• Very good knowledge of the financial markets and regulatory aspects / requirements in market risk
• Interpersonal skills and diplomatic skills
• Verbal and written communication skills in English and French required (You will need to service Anglophone clients and work with Anglophone colleagues)