Quantitative Risk Analyst

1 day ago


Montreal, Quebec, Canada Crédit Agricole CIB Full time

Job Title: Quantitative Risk Analyst

Job Summary:

We are seeking a highly skilled Quantitative Risk Analyst to join our team at Crédit Agricole CIB. 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.

Key Responsibilities:

  • Validate pricing models used by product lines
  • Implement alternative pricing models
  • Study model risk and contribute to the design, specifications, and implementation of reserves methodologies
  • Provide quantitative support to risk management for all quantitative issues on P&L, sensitivities, VaR, etc.
  • Involvement in all products/new activities and 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 and quantitative models for pricing and hedging derivatives
  • Strong analytical and problem-solving abilities
  • C/C++ programming skills
  • Team work oriented

Language: English, French



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