Cross-Asset XVA Model Validator

Groupecreditagricole; Montreal (administrative region); Hybrid; CAD 85,000 - 125,000; Full time

Job summary

Crédit Agricole CIB Canada is seeking a skilled professional to validate pricing models for Cross Asset products and to calculate XVAs within the Market Risk Analytics (MRA) model validation team. You will report to the MCR/MMRW/MRA manager and work across multiple risk classes.

You will liaise with FO Quants, Traders and Risk Managers, ensure adherence to the model governance, and contribute to the internal pricing library (VLib).

Qualifications

• Role focuses on validating pricing models for Cross Assets and XVA products.
• Engage with FO Quants, Traders and Risk Managers to meet validation needs.
• Contribute to MRA model validation processes and governance.

Responsibilities

• Validate pricing models for Cross Assets and XVA in accordance with procedures.
• Communicate validation status and schedules with stakeholders.
• Develop and maintain internal pricing library (VLib) per governance.
• Ensure consistent validation requirements across product lines.

Skills

Quantitative analysis

Model validation

XVA

Cross-asset

Communication

Tools

VLib

Job description

Crédit Agricole CIB Canada is seeking a skilled professional to validate pricing models for Cross Asset products and to calculate XVAs within the Market Risk Analytics (MRA) model validation team. You will report to the MCR/MMRW/MRA manager and work across multiple risk classes.

You will liaise with FO Quants, Traders and Risk Managers, ensure adherence to the model governance, and contribute to the internal pricing library (VLib).