JOB DESCRIPTION
Location : Hybrid (Downtown, Toronto)
Duration : 1-year
Our client, a leading financial institution in Downtown Toronto, is looking for a Quantitative Developer to develop valuation models for interest rate derivatives, credit derivatives, and MBS, ensuring the theoretical soundness, numerical accuracy, and implementation correctness of these models. The successful candidate will have the opportunity to work with one of the Top 5 Banks in Canada.
Typical Day in Role :
- Champion a customer-focused culture to deepen client relationships and leverage broader Bank relationships, systems, and knowledge.
- Develop robust, reliable, and user-friendly front office analytics for pricing, hedging, risk management, and P&L attribution for both intraday and end of day.
- Provide daily and on-demand quantitative support to the business in a timely manner related to valuation, risks, PnL attribution, hedging, and so on.
- Provide subject matter expertise to model stakeholders such as the business, risk management, audit, product control, and technology groups during and post model implementation.
- Form a close partnership with the business to deliver models and analytics to production from end to end with limited supervision.
- Understand how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions.
- Actively pursue effective and efficient operations of respective areas while ensuring the adequacy, adherence to, and effectiveness of day-to-day business controls to meet obligations with respect to operational risk, regulatory compliance risk, AML / ATF risk, and conduct risk, including but not limited to responsibilities under the Operational Risk Management Framework, Regulatory Compliance Risk Management Framework, AML / ATF Global Handbook, and the Guidelines for Business Conduct.
- Champion a high-performance environment and contribute to an inclusive work environment.
Must-Have Skills :
3+ years’ experience in interest rate derivatives or credit derivative products and their valuation models.Solid background in PDE, Monte-Carlo, and stochastic calculus.Strong programming skills in Python and C++, C++11 or higher version.Good communication and interpersonal skills and a team player.Ability to work well in a fast-paced environment with changing priorities.Education :
PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics, or other quantitative areas.Finance professionals are committed to creating an inclusive environment where all team members and clients feel like they belong. We seek applicants with a wide range of abilities and provide an accessible candidate experience. We advocate for you and welcome anyone regardless of race, color, religion, national origin, sex, physical or mental disability, or age.
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