Quantitative Risk Analyst

1 month ago


Montreal, Quebec, Canada Crédit Agricole SA Full time
Job Title

Quantitative Risk Analyst

Job Summary

We are seeking a highly skilled Quantitative Risk Analyst to join our team in Montreal. As a Quantitative Risk Analyst, you will be responsible for the validation of pricing models used by product lines, implementation of alternative pricing models, and study of model risk. You will also contribute to the design, specifications, and implementation of reserve methodologies for model risk and provide quantitative support to risk management for all quantitative issues on P&L, sensitivities, VaR, etc.

Responsibilities
  1. Validate pricing models used by product lines
  2. Implement alternative pricing models
  3. Study model risk
  4. Contribute to the design, specifications, and implementation of reserve methodologies for model risk
  5. Provide quantitative support to risk management for all quantitative issues on P&L, sensitivities, VaR, etc.
Requirements

We are looking for a candidate with a strong background in mathematics, especially probability theory, stochastic processes, statistics, partial differential equations, and numerical methods. You should also have a good understanding of option pricing theory and strong analytical and problem-solving abilities. C/C++ programming skills are a must, and teamwork-oriented individuals are preferred.

About Crédit Agricole CIB

Crédit Agricole CIB is the corporate and investment banking arm of Crédit Agricole Group, one of the largest banking groups worldwide. We offer a range of products and services in capital market activities, investment banking, structured finance, commercial banking, and international trade. We are committed to diversity and inclusion and welcome applications from people with disabilities.



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