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Senior Quantitative Analyst

4 months ago


Toronto, Canada Botsford Associates Full time

Botsford Associates is growing its Risk Management practice and as such is looking to add a Senior Quantitative Analyst to our team. In this role you will focus primarily on modelling and calculation initiatives pertaining to XVA and PFE Monte-Carlo simulations; this will include new product onboarding into the pricing/modelling engines.


Initial Programs in Scope:

  • Potential Future Exposure Program - working on a new Monte-Carlo Calculator and onboarding new models and products (FX, IR and Equities up next)
  • XVA Program - New products to be onboarded and XVA modelling of the products (Equities up next) and models to be developed and tested


Required Skills:

  • Experience developing XVA/PFE models for various Derivative products within a major FI
  • Strong exposure to testing of models and ability to read and understand vendor documentation pertaining to models; comfortability onboarding new products into the pricing engines
  • Strong understanding and ability to apply Monte-Carlo Simulations
  • Strong understanding of Derivatives Pricing
  • Strong written and verbal communication skills