Developer – Quantitative Finance

Developer – Quantitative Finance

ProViso Consulting

Story Behind the Need:

• Business group: Global Analytics and Financial Engineering (GAFE) is working on an implementation project for Margin Computation with bank’s Mexico team.
• Position Title: Quantitative Analyst
• Project: the successful candidate will work with senior team members in Global Analytics and Financial Engineering (GAFE) team to contribute to the implementation of the initial margin (IM) calculation for the Bank’s subsidiary. This includes the testing of the IM computation framework and setup of model monitoring framework.

Candidate Value Proposition:

• This position will provide an opportunity for an Quantitative Analyst to grow and gain experience with a dynamic team in Financial Engineering.

Typical Day in Role:

• Review existing initial margin model and work to extend it to cover operations in Mexico
• Testing, troubleshooting and reviewing process updates
• Ensuring the computed margin amounts are correct and working to identify any errors in computation
• Working to make enhancements to the ongoing monitoring framework for initial margin model.
• Ensuring the new processes are functioning front to end
• Working closely with senior team members to ensure the implementation is transitioned correctly
• Utilizing C++ and Python to make adjustments to the current model

Candidate Requirements/Must Have Skills:

• Doctorate or Master’s Degree in quantitative finance, mathematics, computer science, physics, or other quantitative areas.
• Up to 2 years’ experience after graduation with a passion for quantitative finance.
• Demonstrable knowledge of numerical methods and computational modelling: for example, finite difference / finite element, Monte Carlo simulation, optimization, artificial intelligence.
• Strong programming skills in C++ or Python and the willingness to learn other programming languages.

Nice-To-Have Skills:

• Prior FI experience

Soft Skills:

• Good communication and interpersonal skills and a team player and ability to work well in a fast-paced environment with changing priorities.
• Solutions-focused attitude, recognizing opportunities to contribute to team outcomes, and showing ownership over delivery.

Best vs. Average Candidate:

• The ideal candidate would be an individual would be a recent UOT or Waterloo graduate from their Quantitative Finance program. Alternatively a Masters or PHD in Computer Science or Math.

Degrees or certifications:

• Doctorate or Master’s Degree in quantitative finance, mathematics, computer science, physics, or other quantitative areas.

Candidate Review & Selection:

• 2 Rounds of interviews:
o 1st with the HM and a member of the team
o 2nd if required will be with the director

Job Details



6 months



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