15 Jan
S.i. Systèmes
Toronto
Location Address: 40 King Street W 11th Floor
Work arrangements: Hybrid - 1-2 days onsite per week (Thursdays mandatory)
Contract Duration: 1 year
Possibility of extension & conversion to FTE - Not sure
Story Behind the Need
Business group: Global Model Risk Management (GMRM) - validation and governance, and risk management.
Project: XVA - XVA Expansion 2024 - Valuation adjustment. The project will start in April.
The Manager in Model Validation & Approval Valuation team provides independent and consistent model validation and approval across various product types, including foreign exchange, fixed income, equity, commodity, and credit derivatives.
This manager is primarily responsible for the validation of derivative pricing models in the bank’s XVA initiative. You will collaborate with multiple stakeholders from groups including Global Analytics & Financial Engineering (GAFE) and Trading Floor Risk Management (TFRM) on a regular basis, and occasionally respond to internal and external auditors.
Responsibilities:
• Support Director/Senior Manager to validate derivative pricing models used in capital market and risk management for various purposes
• Provide reports for the summary of findings and opinions to the model approval committee
• Perform model testing and documentation
• Support Director/Senior Manager to validate derivative pricing models used in the capital market and risk management for various purposes including P/L calculation, sensitivity calculation, and limit monitoring, etc.
• Manage the validation projects independently or work in a group; review model documentation; conduct research on new methodology and validation techniques; design and implement validation test plan.
• Provide reports for the summary of findings and opinions to the model approval committee.
• Manage relationships with key contacts as identified for each validation request submission
• Comply with internal policies, procedures, and regulatory requirements where applicable
• Provide support to large-scale projects as required
• Keep abreast of industry and regulatory developments and evolving expectations; develop relationships with counterparts at other financial institutions
Must Have Skills:
1) 1 to 2 years experience in quantitative positions such as model development or model validation.
2) 2 years experience in Python Programming.
3) In-depth knowledge in one or more of the following product types and modeling techniques is preferred: equity derivative, fixed income derivative, commodity derivatives, fx and credit derivatives; local/stochastic volatility modeling, IR curve bootstrapping, etc.
4)
Strong knowledge in applied math/statistics and numerical methods such as Monte Carlo simulation, Bi-Nomial Tree and numerically solving PDE.
Nice-To-Have Skills:
Industry certification or credentials will be an asset (e.g. CFA, FRM)
Soft Skills Required:
1) Effective project and time management to efficiently deliver concurrent projects with competing priorities with good quality.
2) Ability to supervise as well as independently deliver work assignments efficiently.
3) Constructive conflict management ability; ability to collaborate effectively with model owner/sponsor counterparts as well as internal audit and regulators.
4) Effective presentation and strong spoken and written communication skills are essential.
Education: Advanced degree in quantitative fields such as Mathematics, Physics, Computer Science, Financial Mathematics,
Financial Engineering (Master or above - mandate, Ph.D. Preferred) -
Best VS. Average Candidate: The best candidate would be someone with experience in derivative pricing models used in the capital market. Candidates with expertise in capital market valuation and risk models will be the area of focus for this vacancy. Expertise and working knowledge across other risk/model types under the department's current scope (i.e. Market Risk, Capital Models, etc.)
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