Crédit Agricole CIB
★★★★★ 53 Avis
The front office quantitative research is in charge of the development and implementation of all the pricing and risk-management models used by the Equity & Index trading desks.
The team interacts directly with the business stakeholders to deliver efficient and robust solutions that are readily implemented in the systems.
The role of the senior quantitative analyst is to participate to that mission by developing pricing models and portfolio valuation methods including:
• Design, implement, document and test new models for equity derivatives products
• Work closely with traders, structurers, sales, risk control and IT teams to facilitate business requirements on pricing and hedging models
• Provide quantitative ideas and support for traders, structurers and sales
• Address model theory, assumptions and sensitivities to ensure risk is identified, assessed and captured at model, portfolio and firm-wide aggregate levels
• Support, maintain and upgrade the existing working pricing library
By being a reference expert in the domain, the (senior) quantitative analyst will contribute significantly to the development of the department.
- 5-10 years experience working as a front office quantitative analyst in a top tier bank
- An experience and a significant expertise on the following subjects is mandatory:
fund derivatives and proprietary indices modelling
Implied and Stochastic Volatility modelling
PhD or Master's degree in quantitative finance.
Solid background in mathematics, quantitative methodologies, and model building.