Develop interest rate models to measure banking risk. Develop credit spread models for measuring risk in portfolio changes in credit spreads, capturing correlations with interest rates. Quantify Economic Capital for Market Risk and develop stress testing scenarios.
- You must be legally entitled to work in Canada prior to submitting an application to this job posting.
- Strong financial engineering background, as well as interest rate and term structure modeling is required.
- Hands-on methodology development and calibration experience with interest rate and credit spread models.
- Experience in behavioural modeling for loan commitments, prepayment behaviour, and non-maturity deposit modeling.
- Previous IRRBB (Interest Rate Risk Banking Book) modeling.
- Solid conceptual and critical thinking skills.
- Ability to conceptualize complex and highly technical issues and communicate them effectively.