Quantitative Analyst

4 months ago

Montréal, Canada TS Imagine Full time

**_About the job_**

TS Imagine, a global leader in trading and risk management SaaS-based software, is seeking a Quantitative Analyst with Python development skills to join our growing Models and Quantitative Data team in our Montreal office

As a Quantitative Analyst, you will have a broad scope of responsibility that includes the design, development and test of models or processes to value positions and construct quantitative data (curves, volatility cubes, correlation matrices, etc.) or calculate market risk (VaR, greeks, etc.) in real-time across all asset classes including Crypto. Our risk system is used by some of the largest, most prestigious financial institutions around the world, ranging from global investment banks to multi-strategy hedge funds.

**_ Who will love this job_**
- **A scientist **- you are comfortable with numerical methods, linear algebra, partial differential equations, probability and statistics
- **An engineer **- who has a passion for computer science, system performance, clean code and architecture with an owner mentality
- **A doer **- who is enthusiastic about new challenges, accepts a broad spectrum of responsibilities, and works hard to produce a high-quality result
- **A learner **- who is not afraid of being outside the comfort zone and is ready to dive into some of the most complicated problems in finance
- **A teacher **- who shares approaches and ideas and can bring his or her own expertise and point of view to the company
- **An excellent teammate **- who has a combination of technical and personal qualities to thrive in a cutting-edge software development environment

**_What you'll do_**
- Design and development of processes used for pricing positions and calculating market risk metrices for all asset classes (equity, credit, FX, fixed income, commodities, crypto, and their derivatives)
- Write modern, clean, reusable, well tested source code in Python that scales and performs well across large distributed systems
- Leverage SQL and Snowflake to analyze the model inputs or construct model inputs

**_What you should have_**
- M.S. in mathematics, physical sciences, or engineering preferred
- Excellent quantitative and programming skills with 3-5 years' experience in large-scale Python development and program design as well as data intensive products
- Experience with other programming languages (Java Script, Perl, C++) is an advantage
- Understanding of financial derivatives, market conventions is a must
- Experience working on yield curves (OIS, Libor, Cross-currency, etc.), inflation curve, volatility surfaces, interest rate volatility cubes (eventually live/intraday) as well as the data to build them is highly desirable
- Knowledge in risk management tools such as VaR, Monte Carlo, scenario analysis and P&L is preferred

**_Why TS Imagine / Benefits_**
- Currently hybrid home-office (at least 3-4 days in the office)
- 25 Vacation days and 3 Personal days
- Annual bonus and salary review
- Training budget $1,500
- RRSP with 3% company matching
- Health insurance
- Subvention for public transportation (Opus & Cie)

**_ About TS Imagine_**

Created out of the combination of two best-in-class SaaS platforms, TradingScreen and Imagine Software, TS Imagine delivers integrated trading, portfolio and real-time risk solutions for capital markets. The platform is uniquely positioned to streamline complex and time-consuming workflows across front, middle, and back office functions. TS Imagine has close to 400 employees in 10 offices worldwide, serving approximately 500 global buy-side and sell-side institutions across North and South America, EMEA, and Asia Pacific including hedge funds, traditional asset managers, pension funds, mutual funds, and financial institutions.

We challenge our employees every day to think creatively and innovate across silos and across platforms.

Join us

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