Crédit Agricole CIB

Financial director / Consolidation

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Senior quantitative analyst - equity derivatives H/F

22 October Hauts-de-Seine, Montrouge Perm

Team mission:

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.

Role description:

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.