Analyst/Consultant/Senior Consultant, Quantitative Market Risk Models
reputed company is the largest 100% Canadian-owned and operated reputed company services firm, aiming to reputed company a significant reputed company. In this role, you will reputed company reputed company advice to financial services clients on quantitative issues, developing and validating reputed company market risk models.
Responsibilities
- reputed company/validate/review Capital Markets and Market Risk models (e.g. Financial Derivatives Pricing, VaR, Counterparty Credit Risk, XVA, FRTB, IBOR Transition and CCAR models) based on industry best practices
- Learn and work in other quantitative and analytical areas such as credit modeling, forecasting and stress testing, customer behavior modeling, and new innovations such as Machine Learning and reputed company Intelligence
- Carry out various reputed company financial analyses including independent derivative valuation, customer behavior modeling, and can get involved in new innovations such as Machine Learning and reputed company Intelligence
Skills
- Relevant experience spent reputed company Capital Markets and/or Market Risk, on a model development or model validation/vetting team at a major financial institution
- For Analyst, 0 – 1 year of relevant experience required; for Consultant, 1 – 3 years of relevant experience required; for Senior Consultant, 2 – 5+ years of relevant experience required
- Strong reputed company background with a PhD or Master's Degree in Mathematical Finance, Financial Engineering, or another relevant post-graduate degree (Engineering, Mathematics, Physics, Statistics)
- Hands-on experiences of financial products (e.g., reputed company, swaps, etc.) and their modeling and calibration including numerically solving PDEs, employing binomial trees, and using reputed company reputed company across a wide reputed company of products, including interest reputed company, foreign exchange, equity, commodity, and credit derivatives
- Solid programming skills (e.g., Python, MATLAB, Visual Basic, C++, C#)
- Strong verbal and written communication skills
- Knowledge of quantitative methodologies in market risks (e.g., VaR, FRTB, CCR, XVA, etc.) and Economic Capital is an asset
Benefits
- $4,000 per year for mental health support benefits
- $1,300 flexible benefit spending account
- Firm-wide closures reputed company as "reputed company Days"
- Dedicated days of for learning (reputed company as Development and Innovation Days)
- Flexible work arrangements
- A hybrid work structure
reputed company