Senior Quantitative Analyst

Crédit Agricole SA; Montreal; On-site; CAD 80,000 - 130,000; Full time

Job summary

An established industry player is seeking a Senior Quantitative Analyst to drive innovation in pricing model validation and risk management. This role involves engaging with complex mathematical theories and quantitative models to support financial decision-making. You will collaborate with diverse teams, contributing to the design and implementation of cutting-edge methodologies that enhance the bank's capabilities in managing model risk. Join a forward-thinking organization committed to diversity and inclusion, where your expertise will directly impact the financial landscape and support clients globally.

Qualifications

• 6-10 years of experience in quantitative analysis or related fields.
• Strong mathematical background with a focus on pricing models.

Responsibilities

• Validate pricing models used by product lines and implement alternative models.
• Study model risk and contribute to reserves methodologies.

Skills

Mathematics

Probability Theory

Stochastic Processes

Statistics

Partial Differential Equations

Numerical Methods

Option Pricing Theory

C/C++ Programming

Analytical Skills

Problem Solving

Teamwork

Job description

Entity

About Crédit Agricole Corporate and Investment Bank (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 (The Banker, July 2022). 8,600 employees in more than 30 countries across Europe, the Americas, Asia-Pacific, the Middle-East and North Africa, support the Bank's clients, meeting their financial needs throughout the world. Crédit Agricole CIB offers its large corporate and institutional clients a range of products and services in capital market activities, investment banking, structured finance, commercial banking and international trade. The Bank is a pioneer in the area of climate finance, and is currently a market leader in this segment with a complete offer for all its clients.

By working every day in the interest of society, we are a group committed to diversity and inclusion. All our positions are open to people with disabilities.

Reference

2024-89883

Update date

19/02/2025

Business type

Types of Jobs - Risk Management / Control

Job title

Senior Quantitative Analyst

Contract type

Permanent Contract

Job summary

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

Geographical area

America, Canada

City

Montreal

Level of minimal experience

6-10 years

Required skills

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
- Team work oriented