Director, Market Risk Model Developer
$110,000–$160,000 year
On-site · Toronto, Ontario, Canada
Job Summary
Lead the creation and implementation of market risk metrics (PV01, CS01, Inflation 01, XCCY01) across all asset classes to provide clear visibility into market exposures. Integrate market risk measures and reporting into the Enterprise Risk Management framework, including stress scenario analysis, to ensure cohesive risk oversight. Validate daily PnL reporting by linking it to risk metrics and cash flows, demonstrating how market risk positions directly impact financial results. Decompose total asset PnL by market risk driver to support performance attribution and inform business decision-making. Manage market risk reporting processes and collaborate with the 2LOD to ensure robust market risk model governance and control. Partner with CIO leadership on 1LOD risk governance, controls, and reporting within the Investments proprietary platform to strengthen the enterprise risk framework.
Required Qualifications
- Minimal bachelor’s degree in computer science, quantitative mathematics or related fields
- 6+ years of working experience in python-based full cycle model design, development, validation and testing
- Solid understanding on various asset classes (bonds, equities, linear and nonlinear derivatives, structured products)
- Excellent communication skills and ability to collaborate across investment, risk and other functional partners
- A high-performing team leader to direct team strategy, performance, and development
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