Quantitative Risk Management Specialist

4 weeks ago


Montreal, Quebec, Canada Crédit Agricole SA Full time

Job Title: Quantitative Risk Management Specialist

We are seeking a highly skilled Quantitative Risk Management Specialist to join our team at Crédit Agricole SA. As a Quantitative Risk Management Specialist, you will be responsible for the validation of pricing models used by product lines, implementation of alternative pricing models, and study of model risk.

Key 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 reserves methodologies for model risk
  5. Provide quantitative support to risk management for all quantitative issues on P&L, sensitivities, VaR, etc.
  6. In charge of some IPV processes in relation with HO in Paris

Requirements:

  • Bachelor Degree / BSc Degree or equivalent
  • 6-10 years of experience
  • Good level in mathematics and especially probability theory, stochastic processes, statistics, partial differential equations, and numerical methods
  • Good understanding of option pricing theory (i.e., quantitative models for pricing and hedging derivatives)
  • Strong analytical and problem-solving abilities
  • C/C++ programming
  • Teamwork oriented

About Crédit Agricole SA:

Crédit Agricole SA is the corporate and investment banking arm of Crédit Agricole Group, the 10th largest banking group worldwide in terms of balance sheet size. We offer our large corporate and institutional clients a range of products and services in capital market activities, investment banking, structured finance, commercial banking, and international trade. We are a pioneer in the area of climate finance and are currently a market leader in this segment with a complete offer for all our clients.



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