Manager - Market Risk Model Development
Market Risk Model Development
About Our Client
A Leading Canadian Bank.
The Market Risk Model Development group is responsible for the development, maintenance and calibration of various Market and Counterparty Credit Risk models. We interact with various stakeholders in the bank to achieve our mandate. We are looking for a strong candidate to join the Market Risk group as a Senior Analyst or Manager. The successful candidate will primarily develop models and methodologies for the measurement of Market Risk Capital for the Bank's trading positions. This role is part of the larger project to rebuild the bank's the Market Risk system and conform to upcoming FRTB regulatory requirements.
The Successful Applicant
- Strong anaytical background in quantitative finance and statistical modeling
- Knowledge of the valuation of various financial derivatives
- Knowledge of market risk modeling approaches to various asset classes (e.g: Rates, Credit, Equity, FX, etc.)
- Programming skills in Python, other languages also an asset (e.g: R, C++, Matlab, VBA)
- Strong team member with the ability to work effectively and independently when required
- Good technical writing and verbal communication skills are a must
What's on Offer
A Competitive Rate.