Job Description

Candidate Profile Details:

• Degree/Certifications Required: Graduate degree in a quantitative discipline MSc, MMF or PhD. (Math is a nice to have)
• Years of Overall Experience: 5+ years of experience (flexible)
• Preferred Candidate Background: Banking ideally but from any FI related fields
• How will performance be measured: meeting timelines and deliverables
• Selling Points of Position (CVP): Working within a leading FI organization, challenging role, building models for complex derivatives, lots of opportunity to learn

Summary:

• The position reports to Sr. Manager, Model Validation.

Detailed accountabilities include:

• Perform independent initial and ongoing validations of Derivative Pricing/xVA/Counterparty Credit Risk (CCR)/Market Risk models across Client's global trading business, including Interest Rate, Equity, FX, Credit and Commodity derivatives.
• Prepare corresponding initial/ongoing validation reports outlining model assumptions, analytical methodologies and assessments, computational methods and test results.
• Develop/implement validation methodologies and standards. Ensure that the validation methodologies and standards are in line with industry best practice or address regulatory and audit requirements and/or findings in a timely manner.
• The position involves working effectively with different internal partners such as Quantitative Engineering Group in Client's Front Office (FO), Model Development (MD) Group, and IT support teams for MD and FO; to ensure the appropriateness and accuracy of models used by the bank.

Must have skills:

• Excellent knowledge of pricing theory, statistics, stochastic calculus and numerical techniques used in derivative pricing (PDE/trees, Monte Carlo simulation, optimization) as well as CCR/CVA modeling techniques and parameter calibration techniques.
• Proficient in relevant programming languages such as C/C++ and Python.
• Excellent ability to write comprehensive technical documents is required.
• Excellent quantitative skills with background in one of the following areas: mathematics, physics, engineering, computational finance, statistics.

Soft Skills:

• Fast learner who grasps complex concepts and techniques quickly and works independently under tight deadlines.
• Good time management skills with minimal supervision.

Nice to have

• Banking or financial institution (preferred)

Job Details
13737
Contract
12 months
Toronto
84.00 CAD
Recruiter
Arshdeep Kaur
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Skills Required