Modeling and development of Counterparty Credit Risk (CCR) models (IMM re Basel III, EAD, PFE, XvA) to support global derivatives trading business. Broad, generic 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. Location: Toronto.
- You must be legally entitled to work in Canada prior to submitting an application to this job posting.
- Ph.D. in a Quantitative discipline – Financial Engineering, Financial Mathematics, Physics, Statistics, or Computer Science. Master level will also be considered (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.
- Associate Director level may be considered for those candidates with several years’ of specific CCR models’ development experience.