Quantitative Developer 56722

Quantitative Developer 56722

Start Date: ASAP

Duration: 12 months

Work Location:

- Remote, Onsite, or Hybrid: Onsite - 4 days a week , 1 day from home

- Anchor Days (if applicable): Tuesday or Thursday 66 Wellington Street West, Toronto, Ontario

Scope of Project: trading models/ risk

Summary:

Job Description 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 The Bank'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 The 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.

Nice to have

1. Banking or financial institution (preferred)

Degree/Certifications Required: Graduate degree in a quantitative discipline MSc, MMF or PhD. (Math is a nice to have)