Quantitative Risk Analyst

2 weeks ago


Montreal, Quebec, Canada Crédit Agricole SA Full time
About the Role

As a Quantitative Analyst - VP at Crédit Agricole SA, you will be responsible for the validation of pricing models used by various product lines. This involves:

  • Implementation of alternative pricing models to ensure accuracy and efficiency.
  • Conducting thorough studies of model risk to identify potential vulnerabilities.
  • Contributing to the design, specifications, and implementation of reserve methodologies for model risk.
  • Providing quantitative support to risk management teams on P&L, sensitivities, VaR, and other quantitative issues.
Key Responsibilities

Some of the key responsibilities of this role include:

  • Developing and maintaining complex financial models to support risk management and pricing activities.
  • Collaborating with cross-functional teams to design and implement new pricing models and reserve methodologies.
  • Conducting regular model risk assessments to ensure compliance with regulatory requirements.
  • Providing expert advice on quantitative risk management to senior management and other stakeholders.
Requirements

To be successful in this role, you will need:

  • A Bachelor's Degree or equivalent in a quantitative field such as mathematics, statistics, or computer science.
  • Proficiency in C/C++ programming languages and experience with financial modeling software.
  • Strong analytical and problem-solving skills, with the ability to communicate complex ideas to non-technical stakeholders.
  • Experience working in a fast-paced, dynamic environment with multiple priorities and deadlines.


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