Credit Quant Developer
7 days ago
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. li>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.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.Solid background in PDE, Monte-Carlo, and stochastic calculus.Strong programming skills in Python and C++, C++11 or higher version.
Education:
- PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics, or other quantitative areas.
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