Modeling & development of Counterparty Credit Risk (CCR) models (IMM re Basel III, EAD, PFE, XVA) to support global derivatives trading business. Strong knowledge of CCR is required along with specific experience in calibration, back-testing and simulation methodology for a wide range of derivative instruments – interest rates (IR), equity (EQ), commodities (COMM), foreign exchange (FX), etc. This is a full-time permanent role offering career growth for those taking a long-term view in their careers. Contracts will not be considered.
Location: Toronto, Canada.
- You must be legally entitled to work in Canada prior to submitting an application to this job posting.
- Work from home (G.T.A. – Greater Toronto Area) due to current Covid-19 pandemic until staff can physically return to the office in downtown Toronto’s financial district.
- Out-of-province candidates will not be considered unless they are currently in the midst of relocating to the G.T.A.
- Ph.D. in Financial Engineering, Financial Mathematics, Physics, Statistics, Computer Sc., etc., and/or MQF, MMF, MFE.
- Your background includes previous, demonstrated experience in Counterparty Credit Risk (CCR) modeling.
- You possess highly developed quantitative skills.
- Expertise in object-oriented (OO) programming, preferably core Java or short transition thereto.
- You have 2 to 3 years’ relevant modeling and development experience.
- You are ambitious, work smart and you are determined to move up quickly.