Job description
Business type
Types of Jobs - Corporate & Investment Banking
Job title
XVACCR Quantitative Analyst
Contract type
Permanent Contract
Management position
No
Job summary
The candidate will join the XVACCR, Collateral & Credit Quantitative Research team—an innovative group at the forefront of quantitative modelling for XVA, Counterparty Risk, Collateral, and Credit. This dynamic team is tasked with developing cutting-edge solutions that support a wide range of strategic and regulatory initiatives across the bank.
The quant team collaborates closely with several key internal stakeholders:
1. XVA and Scarce Resources desk for XVA pricing and modelling
2. Risk department for Internal & Regulatory CCR, Accounting XVA, and SIMM
3. Collateral desk for discounting, SIMM and IMVA with CCPs
4. Trading and Risk Management for Credit derivatives.
The quant team closely works with the business to study and assess the models’ behaviour and performance. It also plays a significant role in several strategic XVA and RWA projects by producing computational blocks using cutting-edge modelling and implementation techniques to ensure the bank can cope with the increasing list of regulatory measures (XVAVaR, SACCR, FRTB-CVA …) and metrics needed to manage our XVA reserves properly (Optimisation modules, Sensitivities with AAD, Machine Learning …).
The quant team continuously builds and upgrades XVA libraries and platforms to implement regulatory changes in an optimised architecture. The team is also actively participating in developing the Collateral management platform for CCP and EMIR Initial Margin and working on various FO and Risk systems migration projects.
Key Responsibilities
5. Define and implement mathematical tools and pricing models for XVA-linked activity.
6. Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, SIMM …).
7. Interact and support Front Office, Risk Management and IT partners.
SPECIAL ROLE REQUIREMENTS:
8. High programming skills (C++, SQL, C#, VBA …).
9. Good knowledge of numerical methods such as: Monte Carlo, Optimization algorithms, … .
10. Quantitative finance modelling skills: Stochastic calculus for XVA, IR, FX, Credit, ….
11. Recent experience and strengths in most of the following:
- distributed computing and Inter-process communication
- Multi-threading programming
- Microsoft products: Office, VC++, VBA
- SQL, Access, Oracle
- Web technologies: XML, XSLT
12. Strong team orientation, ability to work alone and highly self-motivated
13. Able to adapt and learn new technologies quickly
14. Results and time oriented
15. Excellent analytical and problem-solving abilities
16. Creative, can devise and implement multiple solutions
17. Good communication skills - both verbal and written
Supplementary Information
Our commitment to you
Join our team at Crédit Agricole CIB, the corporate and investment banking arm of 10th largest banking group worldwide in terms of balance sheet size (The Banker, July 2023). We offer more than just a job.
You will be part of a dynamic and collaborative work environment where CSR is embraced in our day-to-day business operation, innovation is encouraged and diversity is celebrated.
Crédit Agricole CIB, the first French bank to have committed to the Equator Principles, is a pioneer and global leader in sustainable finance. Our commitment to sustainability and corporate responsibility means that your work will have a positive impact on our communities and the environment.
With a people-centric culture where everyone is valued, and opportunities for personal and professional growth, Crédit Agricole CIB is not just a place to work – it is where you make an impact.
Our hiring process is open to all and should you have any particular needs or you may require adjustments, please let us know.
Position location
Geographical area
Europe, United Kingdom
City
London
Candidate criteria
Minimal education level
Bachelor Degree / BSc Degree or equivalent
Academic qualification / Speciality
18. Computer Science or Engineering or equivalent experience
Experience
Desirable:
19. Previous experience XVA and/or RWA optimisation
Required skills
20. Creativity
21. Autonomy
22. Team spirit
Technical skills required
23. High programming skills (C++, …).
24. Excellent analytical and problem-solving abilities
25. Strengths in:
- Visual C++
- SQL
- XML, XSLT
- multi-threading programming