Senior Quantitative Analyst

Crédit Agricole Group; Montreal; On-site; CAD 80,000 - 100,000; Full time

Job summary

An established industry player seeks a detail-oriented professional to validate and implement pricing models across various product lines. This role involves studying model risk and contributing to the design of reserve methodologies. You will provide essential quantitative support to risk management, addressing all quantitative issues related to profit and loss, sensitivities, and Value at Risk. Join a dynamic team where your analytical skills will drive impactful decisions and enhance the company's risk management strategies.

Responsibilities

• Validate pricing models used by product lines.
• Implement alternative pricing models and study model risk.
• Provide quantitative support for P&L, sensitivities, and VaR.

Job description

Summary

1. Responsible for the validation of pricing models used by product lines.
2. Implementation of alternative pricing models.
3. Study of model risk.
4. Contribution to the design, specifications, and implementation of the reserves methodologies for model risk.
5. Involvement in all products/new activities.
6. Provide quantitative support to risk management for all quantitative issues on P&L, sensitivities, VaR, etc.
7. In charge of some IPV processes in relation with HO in Paris.