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Analyst_Quantitative Market Risk Models
Full time @Deloitte posted 1 year ago in Project Management & Business Analyst , in Quantitative Modeling & Financial Engineer , in Risk Management Governance & Compliance Shortlist Email JobJob Description
What will your typical day look like?
In this role you will help financial services industry (FSI) clients face quantitative issues with informed confidence. Using your deep technical skills and leveraging our global network of experts, you’ll provide professional advice to our FSI clients in a wide range of situations. The result? Our clients will be better placed to take control and receive the best solutions to their complex challenges.
During your typical day you will develop/validate/review Capital Markets and Market Risk models (e.g. Financial Derivatives Pricing, VaR, Counterparty Credit Risk, XVA, FRTB, IBOR Transition and CCAR models) based on industry best practices. You will also be able to learn and work in other quantitative and analytical areas such as credit modeling, forecasting and stress testing, customer behavior modeling, and new innovations such as Machine Learning and Artificial Intelligence. You may also carry out various complex financial analyses including independent derivative valuation, customer behavior modeling, and can get involved in new innovations such as Machine Learning and Artificial Intelligence.
Enough about us, let’s talk about you
You are someone with:
- 1 to 5 years of relevant experience spent within Capital Markets and/or Market Risk, on model development or model validation/vetting team at a major financial institution
- Solid academic background with a PhD or Master’s Degree in Mathematical Finance, Financial Engineering or other relevant post graduate degree (Engineering, Mathematics, Physics, Statistics)
- Knowledge of financial products (e.g., options, swaps, etc.) and their modeling and calibration in both risk–neutral and real world across a wide range of products, including interest rate, foreign exchange, equity, commodity and credit derivatives;
- Solid programming skills (e.g., Python/MATLAB/Visual Basic/C++/C#);
- Canadian travel may be required and occasional international travel. Candidates may be required to enter the USA to work on client assignments.
- Knowledge of quantitative methodologies in market risks (e.g.VaR, FRTB, CCR, XVA, etc.) and Economic
- Capital is an asset;
- Experience with numerically solving PDEs, employing binomial trees and Monte Carlo methods is an asset.