Risk Analyst

Job title: Risk Analyst

Company: ProViso Consulting


Job description: 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 March- 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 Client’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.

Candidate Value Proposition:

• The successful candidate will have the opportunity to learn capital market valuation and risk models.

Typical Day in Role:

• 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 opinion to the model approval committee
• Perform model testing and documentation
• Support Director/Senior Manager to validate derivative pricing models used in 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 opinion to the model approval committee.
• Manage relationship 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

Candidate Requirements/Must Have Skills:

• 1 to 2 years experience in quantitative positions such as model development or model validation. In depth knowledge in one or more of the following product types and modeling technique is preferred: equity derivative, fixed income derivative, commodity derivatives, fx and credit derivatives; local/stochastic volatility modeling, IR curve bootstrapping, etc.
• Strong knowledge in applied math/statistics and numerical method such as Monte Carlo simulation, Bi-Nomial Tree and numerically solving PDE.
• 2 year experience in Python Programming.

Nice-To-Have Skills:

• Industry certification or credentials will be an asset (e.g. CFA, FRM) – NICE TO HAVE

Soft Skills Required:

• Effective project and time management in order to efficiently deliver concurrent projects with competing priorities with good quality.
• Ability to supervise as well as independently deliver work assignments efficiently.
• Constructive conflict management ability; ability to collaborate effectively with model owner/sponsor counterparts as well as internal audit and regulators.
• Effective presentation and strong spoken and written communication skill is 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 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.).

Candidate Review & Selection:

• 1 round -MS Teams Video call – 30-45 min with Senior managers and Team Director
• Role overview, experience check and financial math test

Job Details12838Contract1 yearToronto

Expected salary:

Location: Toronto, ON

Job date: Sat, 11 Jan 2025 23:42:40 GMT

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