VP Quant: Cutting-Edge Collateral & XVA Pricing

Crédit Agricole CIB; Greater London; On-site; GBP 120,000 - 190,000; Full time

Job summary

Crédit Agricole CIB in London seeks a talented Quantitative Analyst to join our Quantitative Research team, supporting Credit Derivatives, CVA and Collateral Management. This VP-level role offers the chance to work at the frontier of pricing innovation.

You will design and implement cutting-edge mathematical tools and models, collaborating with trading, structuring and risk teams in a fast-paced environment.

Qualifications

• Master's degree in CS or engineering or related quantitative field.
• Experience in XVA and/or Credit derivatives.
• Strong programming skills across multiple languages.
• Proficiency with C++, C#, VB, SQL, and Java.
• Experience with VBA, VC++, and Microsoft Office tools.
• Familiarity with XML and XSLT.

Responsibilities

• Design and implement mathematical tools and pricing models for Collateral Management activities, including IMVA-CCP and COLVA
• Developing and maintaining XVA-linked pricing models and methodologies
• Providing responsive technical support to library users across the business
• Translating trading and structuring needs into robust model implementations within the QR library
• Driving innovation in models and numerical pricing techniques; supporting local trading desks with quantitative expertise

Skills

XVA knowledge

Credit derivatives

Analytical problem solving

Autonomy

Team collaboration

Education

Master's degree in Computer Science or Engineering

Bachelor Degree / BSc or equivalent

Tools

Orchestrade

Callisto

C++

C#

VB

SQL

Java

XML

XSLT

XLL

COM technologies

Job description

Crédit Agricole CIB in London seeks a talented Quantitative Analyst to join our Quantitative Research team, supporting Credit Derivatives, CVA and Collateral Management. This VP-level role offers the chance to work at the frontier of pricing innovation.

You will design and implement cutting-edge mathematical tools and models, collaborating with trading, structuring and risk teams in a fast-paced environment.