Our client, a leading financial institution in downtown Toronto is looking for Quantitative Developers to join their team on a 1 year contract. This is an exciting opportunity to work with front office and utilise your strong modelling skills to create financial models for the derivatives valuation process, supporting the Benchmark Rate Reform initiative in response to the industries transition from LIBOR to a Risk Free Rate.
- Develop and test new front office analytical tools used for pricing, hedging, risk management and PnL attribution for both intraday and end of day alongside quantitative support
- Establish model implementation framework, complying with both internal model risk management policies and external regulatory requirements
- Meet the business' needs of derivatives valuation & adjustment models by forming a close partnership and work proactively with the business to identify key existing and growth areas
- Keeping abreast of the best practice of derivative valuation and adjustment models, ensuring the theoretical soundness and the numerical accuracy
- Communicate daily with traders and sales teams for their requirements
- Masters or PhD in a quantitative discipline (Computer Science/Financial Engineering/ Mathematics)
- Strong knowledge of financial derivatives and their valuation models across all asset classes
- A solid understanding of derivatives computing architecture
- Must have strong programming skills including modern C++ (11,14,17) and Python (NumPy, pandas, PyTorch, dash)
- Quantitative skills including familiarity with numerical PDE and/or Monte Carlo simulation
- Ability to work in a fast paced, demanding environment
- Excellent communication and organisational skills
Moreover, we are seeking an experienced quant or quantitative developer (1-year contract) for Derivatives Valuation Adjustment model development (CVA, DVA, FVA). Besides the skills above, direct experience in CVA, DVA and FVA and CUDA programming will be a huge plus.
To Apply: Please apply with resume in Word format
For more opportunities, please go to www.fpinc.ca
We specialize in finding high performing, talented Accounting & Finance Professionals who are being sought after by top tier companies across Canada for permanent, contract and project opportunities. As a relationship first company, we build win-win partnerships with the candidates and companies we work with. Our focus is to make sure that we get it right the first time saving you time, money and energy during the process. As your trusted advisor, we work hard to ensure that you have the very best experience in your search.