Collateral & XVA Quantitative Analyst Full Time

Crédit Agricole SA

Types of Jobs – Corporate & Investment Banking

Job title Contract type

Permanent Contract

No

Job summary

Summary

The candidate will be sitting within the XVACCR, Collateral & Credit Quantitative Research. The mandate of the quant team: is to produce quantitative modelling and innovative solutions for XVA, Counterpart Risk, Collateral and Credit topics. The quant team regularly interacts with a broad scope of internal clients:

• XVA and Scarce Resources desk for XVA pricing and modelling
• Risk department for Internal & Regulatory CCR, Accounting XVA, and SIMM
• Collateral desk for discounting, SIMM and IMVA with CCPs

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.

Supporting the ‘XVA and Scarce Resources Management ‘and ‘Collateral Management’ functions.

Key Responsibilities

• Define and implement tools and pricing models for Collateral management activity (IMVA-CCP, COLVA, SIMM ).
• Define and implement mathematical tools and pricing models for XVA-linked activity.
• Interact and support Trading, RPC and IT partners.

Geographical area

Europe, United Kingdom

City

London

Bachelor Degree / BSc Degree or equivalent

Master degree in Computer Science or Engineering or equivalent experience

Experience

• Strong knowledge of numerical methods such as: Monte Carlo, Optimization algorithms, .
• Knowledge of SIMM and XVA.
• Recent experience and strengths in most of the following:

– Microsoft products: Office, VBA, VC++

– XLL, COM technologies

– Java, SQL, Access, Oracle

– Web technologies: XML, XSLT

• Strong team orientation, ability to work alone and highly self-motivated
• Able to adapt and learn new technologies quickly
• Results and time oriented
• Excellent analytical and problem-solving abilities

Required skills

• Creative, can devise and implement multiple solutions
• Good communication skills – both verbal and written

General information

Entity 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 2022).8,600 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.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.For more information, please visit