Quantitative Risk Analyst

2 weeks ago


Montreal, Quebec, Canada Crédit Agricole SA Full time

Job Summary

As a Quantitative Analyst - VP, you will be responsible for validating pricing models used by product lines, implementing alternative pricing models, and studying model risk. You will contribute to the design, specifications, and implementation of reserves 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 reserves methodologies for model risk.
  5. Provide quantitative support to risk management for all quantitative issues on P&L, sensitivities, VaR, etc.

Requirements

  • 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 CIB

Crédit Agricole CIB is the corporate and investment banking arm of Crédit Agricole Group, the 10th largest banking group worldwide in terms of balance sheet size.



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