One of our Big 5 Bank clients is looking for someone to join their team for a 12 month contract role, located downtown Toronto.
Brief Project Description:
The Global Risk Analytics (GRA) group has primary responsibility for methodologies related to the measurement of market and counterparty credit risk. This includes leading the specification, implementation, performance monitoring and maintenance of these methodologies. The role will provide support and drive various Fundamental Review of the Trading Book (FRTB) related activities, especially P&L Attribution (PLA) and Non Modellable Risk Factor (NMRF).
- Develop, test and implement market risk methodologies for capital markets. This is focused on PLA and NMRF across various asset classes.
- Analyze and investigate issues in the production of NMRF, working with both Risk IT and other teams in the Enterprise Market Risk team to provide timely resolution.
- Maintain and update NMRF workflow as well as monitoring of issues and limitations of the NMRF models.
- Prepare model whitepapers to validation, which includes model performance evaluation and data validation to ensure the models meet all the regulatory requirements, internal governance standards, and conform to the industry best practices.
- Work with Enterprise Model Risk Management (EMRM) team to ensure the monitoring and documentation of the models are appropriate.
Must Have Skills:
- 1+ year experience in financial markets with mathematical modeling background in a similar or related role (model developer, validator, front office quant, or risk quant)
- Graduate degree in a quantitative discipline such as Financial Engineering, Physics, Math, or Computer Science. (Masters or Ph.D)
- Strong in data analysis and coding (i.e. Python, C++, SQL)
- Excellent verbal and written communication skills.
- Self-motivated individual with a high level of analytical capabilities and attention to detail. Exceptional analytic and problem solving skills.
- Thorough knowledge of market risk, securities and derivatives.
- Strong and committed team player, having the ability to deal with the changing needs of the business through effective teamwork and communication.
- Nice to have FRM
Only those eligible to work in Canada need apply.