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Sr. Consultant to plan and execute projects surrounding Corporate Treasury Structural Market Risk (SMR) Models - 42718

Job Type: Contract
Positions to fill: 1
Start Date: Oct 31, 2022
Job End Date: Oct 31, 2023
Pay Rate: Hourly: Negotiable
Job ID: 123345
Location: Calgary, Edmonton, Halifax, Montreal, Ottawa, Regina, Toronto, Vancouver, Victoria, Winnipeg
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Sr. Consultant to plan and execute projects surrounding Corporate Treasury Structural Market Risk (SMR) Models - 42718

Location: HYBRID (DT Toronto)
Duration: 12 months
 
Job Description:
The purpose of this role is to plan and execute validation projects to identify and make recommendations to mitigate model risk. This role will focus specifically on Corporate Treasury Structural Market Risk (SMR) Models.
 
Job Responsibilities:
  • validating the appropriateness of model inputs
  • evaluating the soundness of the proposed risk/valuation methodologies
  • conducting independent tests to validate model performance
  • assessing the correctness of model implementation into business
  • communicating (verbally and in writing) with the model developers/users and documenting validation findings and conclusions to the associated stakeholders
 
Must Have Skills:
  • 3+ yrs in a Business Consulting role
  • 5+ yrs experience in corporate treasury structural market risk
  • programming skills in SAS, Python or R on numerical solutions
 
Nice to Have Skills:
  • knowledge of financial derivative products and asset-liability management
  • Ph. D in mathematics/physics/engineering/economics/finance
  • certificate holders of CFA or FRM