Quantitative Analyst

Crédit Agricole CIB (CA-CIB) Canada is the home of Crédit Agricole CIB Canada Branch and Crédit Agricole Services & Operations.

The Canada Branch has offices in Montreal and Toronto providing financial services to Canadian Financial Institutions, Banks, Pension Funds & SSA and to large Canadian headquartered international corporations.

Crédit Agricole Services & Operations is hosting a part of all Crédit Agricole CIB's support functions, from KYC, Back Offices, Risk, IT, Legal or Finance supporting our growing operations in the Americas and complementing our European and Asian operations platforms in a “follow the sun” approach.

When you join CA-CIB Canada, you are joining a certified Great Place to Work employer, and a highly engaged workforce.

In charge of validating the pricing models for Cross Assets products and calculating XVAs in the Market Risk Analytics (MRA) model validation team.

The objective of this position is to validate the pricing models for the Cross Assets products and the calculation of XVA, he reports to the MCR/MMRW/MRA manager in charge of the validation of Cross Assets, Credit and XVA products. His role covers the entire validation of the pricing models used to price Cross Assets products as well as the calculation of XVAs that can integrate multiple model components on different risk classes (Indices and Equities, interest rates, FX, Credit, etc.).

• In charge of validating pricing models for Cross Assets and XVA products in accordance with the model validation procedure.
• He/she will ensure communication with all clients of the MRA model validation team (FO Quants, Traders, Risk Manager) and follow the validation schedule in accordance with the objectives of the XVA/Cross Assets and cross-functional product activities and other risk requirements, such as the Annual Review, the Activity Report or any other risk requirements.
• He will ensure the development of the internal pricing library of the model validation team (VLib) in accordance with the internal governance of the library.
• He will ensure the homogeneity of validation requirements between product lines and share all knowledge.

• Active monitoring of NAP and CSTC processes within the scope of responsibility;
• Ensure application and compliance with the CACIB and CA Group model governance;
• Ensure regular communication with other MCR stakeholders;
  Support the market risk management teams of these cross-asset and cross-functional product lines for all quantitative aspects

Télétravail : hybrid

Comply with legal obligations, regulations and compliance issued by the group;

Maintain up-to-date knowledge to ensure you are qualified for the position. Complete mandatory training in order to achieve and maintain the required competencies.

Hierarchical Reporting:
Christophe Santune, Director, CASO Montreal – Head of CASO Risks

Functional reporting and reporting:
Benoit Rodriguez, CACIB Paris – RPC MCR MRA

Front Office Trading

Front Office Quantitative Research Team

Risk managers of the respective business lines

IT

Statutory Auditors / General Inspection / Regulator when necessary

Company Crédit Agricole CIB

Crédit Agricole CIB is the corporate and investment bank of the Crédit Agricole group, the 10th largest banking group in the world *.

We support major companies and financial institutions in their development and the financing of their projects.

As pioneers in responsible finance, social and environmental commitments are at the heart of our…