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.
- 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.