Senior Quant: Collateral & XVA Modeling Lead

Crédit Agricole SA; Greater London; Sur place; GBP 120 000 - 180 000; Plein temps

Résumé du poste

Crédit Agricole CIB is seeking a talented Quantitative Analyst to join the Quantitative Research team in London at VP level. You will define and implement advanced mathematical tools for pricing and risk, collaborating with trading, structuring and risk units in a fast-paced environment.

You will develop models for Collateral Management (IMVA-CCP, COLVA) and XVA pricing, driving innovation while providing strong technical support to library users across the business.

Qualifications

• Master's in CS/Engineering or related quantitative field.
• Proven XVA and/or Credit derivatives experience.
• Strong programming in multiple languages; VBA/VC++, Java, SQL.
• Knowledge of XML and XSLT; XLL/COM is a plus.

Responsabilités

• Design and implement mathematical tools and pricing models for Collateral Management incl. IMVA-CCP and COLVA.
• Develop and maintain XVA-linked pricing models and methodologies.
• Provide responsive technical support to users of the QR library.
• Translate trading and structuring needs into robust model implementations.
• Drive innovation in models and numerical pricing techniques; support local desks.

Connaissances

Programming

Analytical thinking

Office/VBA

XLL/COM

Java/SQL/Access

XML/XSLT

C/C++/C#

Formation

Bachelor's degree / BSc

Master's degree in CS/Engineering

Outils

Orchestrade

Callisto

Microsoft Office

Description du poste

Crédit Agricole CIB is seeking a talented Quantitative Analyst to join the Quantitative Research team in London at VP level. You will define and implement advanced mathematical tools for pricing and risk, collaborating with trading, structuring and risk units in a fast-paced environment.

You will develop models for Collateral Management (IMVA-CCP, COLVA) and XVA pricing, driving innovation while providing strong technical support to library users across the business.