Quantitative Analyst

4 days ago


New York, New York, United States Crédit Agricole CIB Limited Full time
About Crédit Agricole CIB Limited

Crédit Agricole CIB Limited is a leading financial institution that provides a wide range of financial services to its clients. With a strong presence in Europe, the Americas, Asia-Pacific, the Middle East, and Africa, the bank offers its clients a comprehensive range of products and services in the fields of banking, investment, and finance.

Job Description

We are seeking a highly skilled Quantitative Analyst to join our team in New York. The successful candidate will be responsible for working on the Smooth Forward model, a popular model for interest rate curves. The main idea behind this method is that curve dynamics are determined by a number of smooth factors. The candidate will be required to explore this model for the USD curve and conduct a profit and loss explanation study using this model.

Key Responsibilities
  • Exploring the Smooth Forward model for the USD curve
  • Conducting a profit and loss explanation study using the Smooth Forward model
  • Contributing to the support of quant library users and development in the library, including quantitative tools supplied to the business
Requirements
  • Master's degree in Mathematics, Statistics, Computer Science, or Engineering
  • Strong work ethic and excellent interpersonal and communication skills
  • Fluent French and English
  • Advanced level in Excel and PowerPoint
  • Basic programming skills in C++, VBA, or Python


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