Director, Front Office Quant – Counterparty Credit Risk (CCR) Modeling – Toronto

Posted 3 weeks ago

The Role:

Develop Counterparty Credit Risk (CCR) models to support global derivatives trading business. Modeling of Potential Future Exposure (PFE), Credit Value Adjustment (CVA), Funding Value Adjustment (FVA) for a wide range of derivative instruments – interest rates (IR), equity (EQ), commodities (COMM), foreign exchange (FX), etc. Location: Toronto.

Requirements:

  • 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 Front Office 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’ experience.

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