Associate Director, Equity Quant
On-site · Toronto, Ontario, Canada
Job Summary
Develops valuation models for equity derivatives and structured notes, and builds robust front office analytics for pricing, hedging, risk management and P&L attribution for both intraday and end-of-day coverage. Provides daily and on-demand quantitative support to the business related to valuation, risks, P&L attribution, hedging and related activities. Serves as subject matter expert to model stakeholders (business, risk management, audit, product control, technology) during and after model implementation. Partners with the business to deliver models and analytics to production end-to-end with limited supervision. Keeps current on model advancements and integrates them into the bank, while considering risk appetite and risk culture in day-to-day activities. Drives efficient operations and maintains day-to-day controls to meet regulatory and conduct standards. Champions a high-performance and inclusive work environment.
Required Qualifications
- PhD or master’s degree in mathematics, Computer Science, Software Engineering, Physics or other quantitative areas
- 1-4+ years’ experience in equity derivatives and structured notes products and their valuation models
- Solid understanding of derivative pricing and equity derivatives, with particular expertise in PDE, Monte Carlo methods, local volatility (LV) and local stochastic volatility (LSV) models
- Strong programming skills in C++, C++11 or higher version; experience with other programming languages such as Python
- Very good communication and interpersonal skills and a team player
- Ability to work well in a fast-paced environment with changing priorities
- Work Arrangement: On-site role, with at least 4 days a week in the office in Toronto, Canada
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