Quantitative Analyst

Job Number: J0226-0416 Job Type: Full Time Job Category: Information Technology Salary: Open

Quantitative Analyst

Quantitative Analyst

This is a French international banking group and one of the world's largest cooperative financial

Nearly 8,600 employees across Europe, the Americas, Asia-Pacific, the Middle East and North Africa support the Bank’s clients, meeting their financial needs throughout the world. They offer large corporate and institutional clients a range of products and services in capital markets activities, investment banking, structured finance, commercial banking and international trade. The Bank is a pioneer in the area of climate finance, and is currently a market leader in this segment with a complete offer for all its clients.

We are currently looking for a Quantitative Analyst.

That said, they are seeking candidates from Financial mathematics specifically Applied mathematics domain + strong experience in Interest Rates Derivatives pricing models. Skilled in mathematics, stochastic processes and proficient in programming C/C++ and other prog languages.

Key Responsibilities :

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.).

Title: Quantitative Analyst
Location: Montreal, Downtown
Work model: Hybrid, 2-3 days remote work allowed
Type of position: Full time and permanent
Salary: 115k + 10%. 4 weeks vacation. They offer a great benefits package. RRSP matching, you contribute 2% and they contribute 8%.

Primary Responsibilities:
• 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.

Additional responsibilities:
• Active monitoring of NAP and CSTC processes within the scope of responsibility;
• Ensure application and compliance with the Bank and 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
•
Skills and Competencies (Hard and Soft Skills):
• Knowledge of financial mathematics
• Produce code in C++ and Python
• Interest in quantitative aspect of financial products.
• Ability for wok in a team.
• Motivated by work, join the team.
• French is an asset

Educational Qualifications (Degrees, Certifications):
• Degree in financial mathematics or something similar.
Team Structure: Size Team, Team members’ location, etc.
• Team is mainly based in Paris and Montreal
• Teams are organized by business lines- like equity derivative, interest rate derivative, FX, XVA (Additional valuation feature like credit addition valuation), algorithmic trading etc.
• Building up the team in Canada.

Reporting to:

• Hierarchical Reporting: Director, Montreal – Head of Risks
• Functional reporting and reporting:, Paris – RPC MCR MRA


Potential Challenges in the Role:
Having a good understanding of the work, because it is complex. It will be a great opportunity for young people with finance background to join this team, They have a good knowledge on the subject and progress very quickly within the team.

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