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Market Risk Model Developer

2 months ago

Toronto Ontario, Ontario, Canada Quality IT Resourcing Full time

My client, a large enterprise, is looking for Market Risk Model Developers (multiple openings)

Contract

Remote (Canada) - Pref. Toronto.


If interested reply ASAP with your resume and availability for a call:


Market Risk Model Developer / Validator:

  • 3-5 yr experience in the model development / validation teams in a bank
  • Solid academic background with a PhD or master’s degree in mathematical finance, Financial Engineering or other relevant post graduate degree (Engineering, Mathematics, Physics, Statistics, Finance)
  • Strong knowledge of financial products (e.g., options, swaps, etc.) and their modeling and calibration under both the risk–neutral and real-world measures across a wide range of products, including interest rate, foreign exchange, equity, commodity and credit derivatives.
  • Solid programming skills (e.g., Python/MATLAB/Visual Basic/C++/C#);
  • PPNR (loans, AUM bonds, stocks, etc.)
  • PolyPaths system experience
  • pricing models for ABS/MBS, futures, bonds, and curve construction
  • pricing models for Equity and Commodity derivatives
  • including construction and development of these models
  • Var models for risk management of market risk products
  • Wealth management risk management models (BlueBay, AXIOMA systems and tracking error for equity funds via a factor models)
  • Experience with FRTB, SA-CCR and similar regulations is desirable