Analyst - Hybrid - London, United Kingdom - Crédit Agricole SA

Crédit Agricole SA London, United Kingdom

1 month ago

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Description

Types of Jobs - Risk Management / Control
Contract type
Permanent Contract

For each validation request, the team analyses the assumptions and the proposed model/methodology to verify the theoretical relevance to the problem it is designed to address.

Then tests and analysis will be done to check the implementation as well as the behaviours of the model/methodology in terms of robustness and reliability.

As long as it is possible, in particular for important pricing models, the team will re implement the model in the team's internal library which covers all the asset classes (IR, FX, Hybrid, equity, XVA, credit).

The whole study is expected to challenge all the aspects of the model/methodology and its numerical implementation.

In addition, the team also works closely with the RM team and provides them with technical support on all model/methodology related issues, in particular, on the various risk reports.

The team is also in charge of the governance of models/products inventory and ensures the models/products are reviewed on a regular basis in function of their complexity and materiality.

The candidate is required to possess at least a master degree level in Financial mathematics or equivalent.

In particular, the candidate should be familiar with stochastic calculus (Brownian motion, Ito Lemma, numeraire change, ...) and relevant numerical methods (Monte Carlo, PDE resolution, asymptotic analysis, ...).

In addition, the candidate should also be familiar with at least one of programming languages such as C++, Java, C# or Python as he/she will need to implement in the team's C++ Library.

Team work is the essential part of the role and communication capacity is also required for exchanges with various teams (FO, Risk, IT, etc).

Implementation of alternative pricing model, study of model risk.
Participate in the design, specification and implementation of the reserves / provisioning methodologies for the model risk.
Involved in all products / new activities within Credit and Scarce Resources Desk (pricing, risk measurement...).
Provide support to the risk management for all quantitative issues on P&L, sensitivities & VAR, Stress... You shall not take or make copies of or reproduce in any manner any Information whether by photocopy, photograph, in written form, computer disk or audio tape or by any other means or upon any other media, nor shall you compile or make notes of or abbreviate any of the Information in any manner whatsoever
You agree to comply with all applicable laws, regulations, codes and any policies and procedures (including but not limited to the compliance handbook) that CRÉDIT AGRICOLE CIB or any Group Company issues from time to time and which apply to you and failure to do so may result in the termination of the engagement
Legal and Regulatory Responsibilities
~ Comply with all applicable legal, regulatory and internal Compliance requirements, including, but not limited to, the London Compliance manual and the Financial Crime Policy.

The candidate is required to possess at least a master degree level in Financial mathematics or equivalent
Strong skills C++ programming and ability to programme in a common library project.
Python, VBA programming
Languages

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 ,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.

For more information, please visit LinkedIn:
Working every day in the interest of society, our Group is committed to diversity and inclusion.

To find out more on our Diversity Policy, click here:

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