Story Behind the Need
• Business group: Global Analytics & Financial Engineering, NY
• Project: Contributes to the overall success of the Global Analytics and Financial Engineering ensuring specific individual goals, plans, initiatives are executed / delivered in support of the team’s business strategies and objectives. Ensures all activities conducted are in compliance with governing regulations, internal policies and procedures. The Murex Version Project is an overall update of the Murex software – providing new improvements
• Reason for request:
Candidate Value Proposition
• The successful candidate will not only have the opportunity to gain valuable experience at a top 5 Canadian bank while also getting the chance for extension or conversion with good performance.
Typical Day in Role
• Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems and knowledge.
• Develops valuation models for FX derivatives products, and ensures the theoretical soundness, the numerical accuracy, and the implementation correctness of these models
• Develops robust, reliable and user friendly front office analytics for pricing, hedging, risk management and P&L attribution for both intraday and end of day
• Provides daily and on demand quantitative support to the business in a timely manner related to valuation, risks, PnL attribution, hedging and so on
• Provides subject matter expertise to model stakeholders such as the business, risk management, audit, product control and technology groups during and post of the model implementation
• Forms a close partnership with the business to deliver models and analytics to production from end to end with limited supervision
• Understands how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions.
• Actively pursues effective and efficient operations of his/her respective areas, while ensuring the adequacy, adherence to and effectiveness of day-to-day business controls to meet obligations with respect to operational risk, regulatory compliance risk, AML/ATF risk and conduct risk, including but not limited to responsibilities under the Operational Risk Management Framework, Regulatory Compliance Risk Management Framework, AML/ATF Global Handbook and the Guidelines for Business Conduct.
• Champions a high performance environment and contributes to an inclusive work environment.
Candidate Requirements/Must Have Skills:
• 7+ years of experience in C++, C++11 or higher version; experience with other programming languages such as Python, Java, or Scala
• 3+ + years’ experience in FX derivatives products and their valuation models
• 5+ years of experience in PDE, Monte-Carlo and stochastic calculus –
• 10+ years of experience in Python – a strong python developer is preferred
• Exposure to FX option, European, Asian,
• Any exposure to the Murex systems is preferred but not required
• Good communication and interpersonal skills and a team player
• Ability to work well in a fast-paced environment with changing priorities
• Candidate will be working closely with their team, as well as other parties not just internally
Degrees or certifications:
• PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas
Candidate Review & Selection
• 3 Step Process
o 1st screen the candidates
o 2nd Panel interview
o 3rd will be another panel type interview
• Global Analytics and Financial Engineering is a critical function within the Bank’s Global Banking and Markets (GBM) division. The derivatives valuation models and analytics developed by the team are used globally for pricing, hedging, risk management, trading limits and capital. The accuracy and the performance of these models have a direct impact on GBM’s competitiveness and profitability. The reliability and the robustness of the analytics enable the business to view and hedge risks efficiently.
o FX derivatives models
o Front Office pricing and hedge analytics
o Quantitative support to FX business in Toronto, New York and London