Senior Quantitative Analyst

1 week ago

Greater Montreal Metropolitan Area, Canada Hays Full time

Your new company


Our client is a leading global consulting firm looking to hire Senior Quantitative Analyst for a full-time permanent opportunity.


Your new role


  • Responsible for the validation of pricing model used by product lines
  • Implementation of alternative pricing model
  • Study of model risk
  • Contribution to the design, specifications and implementation of the reserves methodologies for the model risk
  • Involvement in all products / new activities
  • Provide quantitative support to the risk management for all quantitative issues on P&L, sensitivities, VaR etc..
  • In charge of some IPV processes in relation with HO in Paris


What you'll need to succeed


  • 3-10 years specifically with statistical model-stochastic calculus, Martingales, Brownian motion, or numerical methods of pricing
  • Good understanding of option pricing theory ( i/e quantitative models for pricing and hedging derivatives)
  • C++ Programming
  • Good level in mathematics and especially probability theory, stochastic processes, statistics, partial differential equations and numerical methods
  • Good understanding of option pricing theory ( i/e quantitative models for pricing and hedging derivatives)
  • Strong analytical and problem-solving abilities
  • Team work oriented


What you need to do now


If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV to


-x-x-


Votre nouvel employeur


Notre client est un cabinet de conseil international de premier plan qui recherche un Analyste Quantitatif Senior pour un poste permanent à temps plein.


Votre nouveau poste


  • Responsable de la validation du modèle de tarification utilisé par les lignes de produits
  • Mise en œuvre d'un modèle de tarification alternatif
  • Étude du risque de modèle
  • Contribution à la conception, aux spécifications et à la mise en œuvre des méthodologies de réserves pour le risque de modèle
  • Implication dans tous les produits / nouvelles activités
  • Fournir un soutien quantitatif à la gestion des risques pour toutes les questions quantitatives sur le P&L, les sensibilités, la VaR, etc.
  • En charge de certains processus IPV en relation avec HO à Paris.


Les qualifications demandées

  • à 10 ans d'expérience spécifique dans le domaine des modèles statistiques - calcul stochastique, Martingales, mouvement brownien ou méthodes numériques d'évaluation des prix.
  • Bonne compréhension de la théorie de l'évaluation des options (i/e modèles quantitatifs pour l'évaluation et la couverture des produits dérivés)
  • Programmation C++
  • Bon niveau en mathématiques et en particulier en théorie des probabilités, processus stochastiques, statistiques, équations différentielles partielles et méthodes numériques.
  • Bonne compréhension de la théorie de l'évaluation des options (i/e modèles quantitatifs pour l'évaluation et la couverture des produits dérivés)
  • Solides capacités d'analyse et de résolution de problèmes
  • Sens du travail en équipe.


Les avantages offerts

Il s'agit d'une opportunité exceptionnelle, assortie d'avantages et de prestations attrayants.

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