Quantitative Analyst- Director of Pricing

3 days ago


Montreal, Quebec, Canada Crédit Agricole CIB Full time

Job Summary:

We are seeking a highly skilled Quantitative Analyst to join our team at Crédit Agricole CIB. As a key member of our risk management department, you will be responsible for validating pricing models used by various product lines and contributing to the design, implementation, and specification of reserve methodologies.

About the Role:

This exciting opportunity allows you to leverage your expertise in mathematics, particularly probability theory, stochastic processes, statistics, partial differential equations, and numerical methods. You will work closely with our team to provide quantitative support for risk management, including P&L analysis, sensitivity analysis, and Value-at-Risk calculations.

Responsibilities:

  • Validate pricing models used by product lines
  • Implement alternative pricing models
  • Study model risk and contribute to the design, implementation, and specification of reserve methodologies
  • Provide quantitative support for risk management, including P&L analysis, sensitivity analysis, and Value-at-Risk calculations
  • Involvement in all products/new activities and IPV processes related to HO in Paris

Requirements:

To succeed in this role, you will need a Bachelor's Degree/BSc Degree or equivalent, with 6-10 years of experience in a similar position. Strong analytical and problem-solving abilities, as well as proficiency in C/C++ programming, are essential. A good understanding of option pricing theory, including quantitative models for pricing and hedging derivatives, is also required. Additionally, you should be proficient in both English and French languages.

Estimated Salary: $120,000 - $180,000 per year, depending on qualifications and experience.



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