Analyste Quantitatif capital économique H/F

Job description

The RPC Directorate identifies, analyses, measures and controls counterparty, market, country and portfolio risks, as well as physical and technical operational risks. It is also responsible for steering and supervising Crédit Agricole CIB’s permanent control framework.

The Portfolio Risk Model (MRP) department designs and implements quantitative credit-risk calculation models within RPC. Its Quantitative Portfolio Model team works on IFRS 9 provisioning models, economic capital models, stress-test models, securitisation transaction-rating models and transaction profitability calculations.

Within a team of eight, your responsibilities will include:

• Taking ownership of, recalibrating and backtesting internal IFRS 9 provisioning models, and documenting the work performed.
• Managing CNM reviews as well as internal and ECB audits.
• Studying model risk related to internal IFRS 9 provisioning models.
• Supporting internal and regulatory stress-test production exercises.
• Integrating climate dimensions, including physical and transition risk, into stress-testing frameworks and the metrics modelled and calibrated by the team.
• Developing expertise in the team’s other quantitative topics, including securitisation and the ICAAP internal portfolio model.

Requirements

• Postgraduate degree or equivalent, ideally from an engineering school or university with a specialisation in mathematics and quantitative finance.
• 3–5 years of experience.
• Technical skills in mathematics, statistics and computer science.
• Analytical and synthesis skills.
• Proactive, rigorous, organised and autonomous.
• Strong teamwork, interpersonal and communication skills.
• Knowledge of Python, R, C# and Matlab.
• Operational English.

About Crédit Agricole Corporate and Investment Bank

Crédit Agricole CIB is the corporate and investment bank of the Crédit Agricole group. It supports major companies and financial institutions in developing and financing their projects, with responsible finance and social and environmental commitments at the heart of its activities.