Sr. Quantitative Analyst recruitment

PURPOSE

Ongoing and advanced mathematical modelling and programming to support Counterparty Risk Trading.

  PRIMARY RESPONSIBILITIES

• Carry out special projects related to pricing models, trades, and risk management in order to aid the CRT desk operations.

• Maintainance and improvement of existing pricing tools and operational framework.

• Development and implementation of miscellaneous tools to support trading and risk management activities.

• Support the modelling requirements of the trading staff as needed.

• Development and implementation of mathematical software for the pricing of CVA and FVA.

• Ensure that any models developed are fully and properly integrated into the quant libraries.

• Co-ordination with GMO and GRM as part of the process of submitting front office developed models for vetting and use in the banks risk framework.

   AUTHORITIES, IMPACT, RISK

• Modelling and developing authority. Impacts – reputational, profitability.

• Supports the Counterparty Risk Trading business.

• No permissions to commit the bank.

   KEY RELATIONSHIPS

• Report to Toronto Head of CRT Quants.

• No direct reports.

• Key contacts: Head Counterparty Risk Trading (CRT) and members of CRT desk, Head and members of SRT and CVA Quants, Head and members of Structured Products Apps, GMO, GRM, Systems and IT Department.  WORKING CONDITIONS

• Standard Front Office environment.

• A high attention to detail is required as the role involves the development of complex mathematical models and computer code.

• The position involves working to Front Office deadlines and in an active trading environment and so will involve a certain level of stress.

  EDUCATION /OR EXPERIENCE Required

• High qualifications in mathematics or the physical sciences

• Advanced abilities in C++ coding.

• Knowledge of derivatives and financial products, for trading, pricing and risk management.

• Knowledge of counterparty risk models.

• Knowledge of relevant applications and risk managements systems and IT.

  Preferred

• Postgraduate degree in a highly numerate discipline such as mathematics, physics, finance, or engineering.

   COMPETENCIES   Behavioural

• Tenacious and Adaptable.

• Committed team player with a flexible, enthusiastic attitude and good communication.

• Ability to apply quantitative analysis to structured products transactions.

Technical

• Advanced numerical and analytical programming skills in C++.

• Extensive spreadsheet experience.

• Knowledge of vanilla rates derivatives and cash products and models.

• Knowledge of complex rates products and models.

• Knowledge of credit derivative products and models.

• Advanced mathematics including stochastic calculus.