Manager/Senior Manager, Quantitative Market Risk Models
$101,000–$169,000 year
HybridToronto, Ontario, Canada
Job Summary
Develop, validate, or review Capital Markets and Market Risk models for Banking and Finance clients, covering Financial Derivatives Pricing, VaR/ES, Counterparty Credit Risk, and FRTB. Apply quantitative methodologies including numerically solving PDEs, binomial trees, and Monte Carlo methods across interest rate, foreign exchange, equity, and credit derivatives. Lead model development and validation teams while managing complex projects for sophisticated Canadian and international clients. This role sits within Deloitte's Risk, Regulatory & Forensics practice, offering exposure to high-profile advisory solutions where significant business value is at stake.
Required Qualifications
- 5-15 years of relevant experience spent within Capital Markets and/or Market Risk, on a model development or model validation/vetting team at a major financial institution
- Strong academic background with a PhD or Master's Degree in Mathematical Finance, Financial Engineering, or another relevant post-graduate degree (Engineering, Mathematics, Physics, Statistics)
- Solid understanding and hands-on experiences of financial products (e.g., options, swaps, etc.) and their modeling and calibration including numerically solving PDEs, employing binomial trees, and using Monte Carlo methods across a wide range of products, including interest rate, foreign exchange, equity, commodity, and credit derivatives
- Strong programming skills (e.g., Python, MATLAB, Visual Basic, C++, C#)
- Strong verbal and written communication skills
- Experience in people management and strong time management skills
- Solid knowledge of quantitative methodologies in market risks (e.g., VaR, FRTB, CCR, XVA, etc.) and Economic Capital is required
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