Risk Management Consultant
One of the Big 5 Banks that is located downtown Toronto is looking for a Risk Management Consultant for a 6 month contract position. This position pays $85-110/hr incorporated.
Duties & Responsibilities:
• Participate in the global specification and implementation of CCR models. This includes risk factor calibration, simulation and derivatives pricing models.
• Participate in the specification and execution of ongoing performance monitoring for CCR models. This includes design and build of various performance metrics.
• Participate in the ongoing maintenance of existing models within the CCR framework.
• Provide increased transparency regarding both existing and future CCR models.
• Participate in the projects to incorporate additional asset classes into the Internal Models Method (IMM) framework.
Must Have Skills:
• Thorough knowledge of market and counterparty credit risk and derivatives pricing.
• Proficiency in C++ : be able to implement small-scale models and tools in VC++ ; comfortable with debugging tools, testing and benchmarking.
• Experience with CCR Modelling.
• Masters in Financial Engineering or equivalent.
• Knowledge of object-oriented techniques and design.
• Excellent oral and written presentation skills.
• Self-motivated individual with a high level of analytical capabilities and attention to detail.
• Excellent communication and interpersonal skills.