Sr Risk Analyst (Financial Engineer) (C++/C#/VBA/Python) to develop rapid prototype for quantitative valuation/risk models for measuring and hedging the interest rate risk of retail, commercial and structured finance products for a large financial organization - 48363
Job Type: Contract
Positions to fill: 1
Start Date: Feb 01, 2023
Job End Date: Jan 31, 2024
Pay Rate: Hourly: Negotiable
Job ID: 126877
Location: Toronto
Details
# of positions: 1
Duration: 1 year
Extension possible: possibly
Conversion Possible: possibly
Interview Process: 2 rounds, Webex
Work Location (Remote, Hybrid or Both?): 66 Wellington Street West - 20th floor , hybrid 1 day per week in office may increase
SUMMARY OF DAY-TO-DAY RESPONSIBILITIES:
MUST HAVE:
NICE TO HAVE
# of positions: 1
Duration: 1 year
Extension possible: possibly
Conversion Possible: possibly
Interview Process: 2 rounds, Webex
Work Location (Remote, Hybrid or Both?): 66 Wellington Street West - 20th floor , hybrid 1 day per week in office may increase
SUMMARY OF DAY-TO-DAY RESPONSIBILITIES:
- Develop rapid prototype for quantitative valuation/risk models for measuring and hedging the interest rate risk of retail, commercial and structured finance products in the Banking book to support the Balance Sheet Management Project.
- Support and maintain existing models and research industry best practice, address model validation, audit and regulatory requirements and/or findings in a timely manner.
- The position must work effectively with internal and external partners of TBSM, including Fund Transfer Pricing, Market Risk Measurement and Reporting Team, the Treasury Analytics Group, and the Model Validation and Management Team, to ensure the soundness and accuracy of the model development and implementation.
- Strong quantitative skills with a graduate degree in one or more of the following areas: statistics, economics, and mathematics, with experience in quantitative analysis / financial engineering.
- Knowledge of financial markets as well as fixed income portfolio management and hedging techniques and valuation models.
- Experience in model development or validation with an advanced knowledge of stochastic processes and fixed income and asset backed securities modelling an asset.
- Solid skills in C++/C#, VBA programming and Microsoft Office tools (Excel, Word, Powerpoint)
- Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development
MUST HAVE:
- 5+ Years of Relevant exp or educational background in financial engineering
- Knowledge of risk management concepts
- 5 + Years of experience using C++/C#, VBA programming and Microsoft Office tools (Excel, Word, PowerPoint)
- 5+ Years Python
NICE TO HAVE
- Experience in model development or validation with an advanced knowledge of stochastic processes and fixed income and asset backed securities modelling an asset.
- Knowledge of financial markets as well as fixed income portfolio management and hedging techniques and valuation models.
