Analyst/Developer

Job title:

Analyst/Developer

Company

ProViso Consulting

Job description

Story Behind the Need

• Business group: Global Analytics & Financial Engineering
• 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 robustness of the analytics enable the business to view and hedge risks efficiently.
• Interest rate cash products, derivatives and structured notes model development and maintenance
• Inflation cash products and derivatives modeling
• Interest rate trading desk analytics
• Interest rate model deployment coordination among IT and downstream stakeholders
• Quantitative support to interest rate business globally across trading and sales, product control, risk management, technology, and audit functionalities
• Project: DAS expansion of the products and coverages to introduce new libraries to replace the legacy library.

Job Summary:

• Contributes to the overall success of the Global Analytics and Financial Engineering in Canada ensuring specific individual goals, plans, and initiatives are executed/delivered in support of the team’s business strategies and objectives. Ensures all activities conducted comply with governing regulations, internal policies, and procedures.

Candidate Value Proposition:

• The successful candidate will not only have the opportunity to gain valuable experience at a top-five Canadian bank but also get exposure to some of the most advanced technologies within banking.

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 fixed-income products, and interest rate derivatives, and ensures the theoretical soundness, numerical accuracy, and 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:

• 10+ years of progressive experience as an analyst/developer or similar capacity
• 3+ years’ experience in interest rate derivatives or fixed-income products and their valuation models
• Fluent with Python, and Unix Script, and Excel spreadsheets.

Nice-To-Have Skills:

• Programming skills in C++, C++11 or higher version; experience with other programming languages such as Java, or Scala is preferred
• Solid background in PDE, Monte-Carlo and stochastic calculus is an asset

Soft Skills Required:

• Agile thinker to be quick on their feet
• Self-starter that actively engages issues seeking resolution, ability to meet dynamic changes on prioritization
• Ability to manage assigned tasks and expectations without direct instruction or oversight
• Fast, adaptable learner who can hit the ground running
• Ability to work well under pressure while demonstrating strong professionalism
• Strong investigation, prioritization, and organization skills
• Candidate must have an open mind when it comes to approach, and be able to assess each situation separately, great listener
• Must be able to collaborate closely with a team at times, while also being capable of holding themselves accountable to meet individual deadlines without hand-holding
• Excellent communication and presentation skills and the ability to articulate ideas effectively with different business lines
• Strong ability to multi-task and meet deadlines.
• Strong detail orientation, and a passion for consistency.

Education & Certificates:

• PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas

Best vs. Average Candidate:

• The best candidate is familiar with interest rate curve construction and interest rate swap pricing valuation. Familiar with interest rate swap market conventions.
• The ideal candidate is someone who uses Python and Unix scripts to build the tools to run some processes.
• In addition, the ideal candidate is someone very detail-oriented and capable of reviewing the results between the new and old library and identifying causes of discrepancies.
• The best candidate can communicate analysis results to different stakeholders across the organization.

Candidate Review & Selection Process – 2 Rounds:

• 1st Round: Participants: Hiring manager
• Duration: 30 -45 minutes
• Format: MS Teams video call or in-person
• 2nd Round: Participants: Directors and Manager Director
• Duration: 30-45 minutes
• Format: MS Teams video call and/or in-person

Job Details12878Contract1 yearToronto

Expected salary

Location

Toronto, ON

Job date

Sat, 18 Jan 2025 23:45:27 GMT

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