Quantitative Analyst

Crédit Agricole Assurances SA; Montreal; On-site; 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 (CA-CIB) Canada is the home of Crédit Agricole CIB Canada Branch and Crédit Agricole Services & Operations.

The Canada Branch has offices in Montreal and Torontoproviding financial services to Canadian Financial Institutions, Banks, Pension Funds & SSA and to large Canadian headquartered international corporations.

Crédit Agricole Services & Operations is hosting a part of all Crédit Agricole CIB's support functions, from KYC, Back Offices, Risk, IT, Legal or Financesupporting our growing operations in the Americas and complementing our European and Asian operations platforms in a "follow the sun" approach.

When you join CA-CIB Canada, you are joining a certifiedGreat Place to Workemployer, and a highly engaged workforce.

Position Summary:

In charge of validating the pricing models for Cross Assets products and calculating XVAs in the Market Risk Analytics (MRA) model validation team.

Key Responsibilities :

The objective of this position is to validate the pricing models for the Cross Assets products and the calculation of XVA, he reports to the MCR/MMRW/MRA manager in charge of the validation of Cross Assets, Credit and XVA products. His role covers the entire validation of the pricing models used to price Cross Assets products as well as the calculation of XVAs that can integrate multiple model components on different risk classes (Indices and Equities, interest rates, FX, Credit, etc.).

Primary Responsibilities:

• In charge of validating pricing models for Cross Assets and XVA products in accordance with the model validation procedure.
• He/she will ensure communication with all clients of the MRA model validation team (FO Quants, Traders, Risk Manager) and follow the validation schedule in accordance with the objectives of the XVA/Cross Assets and cross-functional product activities and other risk requirements, such as the Annual Review, the Activity Report or any other risk requirements.
• He will ensure the development of the internal pricing library of the model validation team (VLib) in accordance with the internal governance of the library.
• He will ensure the homogeneity of validation requirements between product lines and share all knowledge.

Additional responsibilities:

• Active monitoring of NAP and CSTC processes within the scope of responsibility;
• Ensure application and compliance with the CACIB and CA Group model governance;
• Ensure regular communication with other MCR stakeholders; Support the market risk management teams of these cross-asset and cross-functional product lines for all quantitative aspects