Senior QuantQuantative Developer

Mandatory skills: Python OR C Monte Carlo simulation quantitative background derivatives pricing models and risk model back testing experience

Job Description:

Responsibilities

Upon joining the team the candidate is expected to be immediately working on the longterm strategic counterparty credit risk model replacement project (and subsequently any downstream models affected) responsible for all aspects of model implementation model testing and reconciliation design of ongoing performance monitoring plan and documentation of the model submission package for model risk teams review.

Skills

Must have

Minimum degree of Master or PhD in quantitative fields is required with at least 35 years of relevant experience.
The candidate must have strong quantitative and analytical background with a solid theoretical foundation coupled with strong programming documentation and communications skills.
Must have experience implementing complex market or credit risk quantitative modelling for OTC derivatives using programming languages (such as Python and C) as well as mathematical/statistical software packages.
Knowledge of derivatives pricing models (Black Scholes Hull White) Monte Carlo simulation and risk model back testing experience is also a must.

Nice to have

The candidate is preferred (a plus) to have experience in credit risk modelling and is familiar with credit risk concepts such as PFE (Potential Future Exposure) CSA MPOR collaterals IM and VM and Monte Carlo simulation of longtime horizons.

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Skill Sets:

Total years of Experience in Python OR C:

Total years of Experience in Monte Carlo simulation:

Total years of Experience in quantitative background:

Total years of Experience in derivatives pricing models:

Total years of Experience in risk model back testing experience: