quantitative risk model developer in toronto

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toronto, ontario
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Quantitative Risk Model Developer – 6 months – Toronto – Financial Industry

Are you a model developer working with FRTB? Have you worked closely with stakeholders and business analysts to price derivatives from scratch and build models in C#?

If so, please consider the role below.

• Analysis and breakdown of FRTB requirements/equations/mappings into near- ready model designs
• FRTB SA Models (SBM, DRC, RRAO) development and testing.
• Development and testing of FRTB IMA Models (IMCC, Back testing, DRC, NMRF, PLA)
• Support NMRF analysis and design including clarifying risk factors as modellable/non-modellable
• Coding in C# for impact analysis for FRTB Risk Factors (RF)
• Coding in C# for bucketing analysis for RF and impact on P&L attribution test, ES capital, and NMRF

Must have:
Must (as many categories as possible):
• PhD or Master’s Degree in Quantitative Finance/Mathematics
• Experience working on Basel Regulations
• Strong knowledge and development experience in C#
• Exposure to Valuation and Risk Management.

Nice to have:
• MFL knowledge
• Direct experience with testing / mocking framework

• Someone who is able to effectively communicate, and ask questions, someone who is constantly setting goals and achieving them.
We are currently looking for four of these individuals on a new exciting project within the bank, the initial contract will be 6 months but we are anticipating it to go longer. Willing to pay top dollar for the right contractor, someone with over 5 years of experience in the field is ideal.

This role will be closing Thursday Aug 9th at 9am, please submit your resume by then for first wave consideration. Don’t delay apply today!

Randstad Professionals Canada
Randstad Canada is committed to building a diverse workforce reflective of the diversity of Canada. As a result, we promote employment equity and encourage candidates, especially those who identify as a woman, an Aboriginal person, a person with a disability or a member of a visible minority group, and any others who may contribute to the diversification of our workforce, to apply.

Randstad Canada is also committed to developing an inclusive, barrier-free selection processes and work environments.If contacted in relation to a job opportunity, you should advise your Randstad Representative or your local Randstad branch in a timely fashion of the accommodation measures which must be taken to enable you to be assessed in a fair and equitable manner.Information received relating to accommodation measures will be addressed confidentially.

For all feedback on equity and accommodation needs, please contact your local Randstad Canada Branch.