Quantitative Analyst/Treasury Modelling

  • Date Posted Sep 14, 2022
  • Location Toronto, Ontario
  • Job Type Contract
  • Job ID 15148

 Are you a leader and learner? Would you like to see the impact of your work? Do you see yourself in a collaborative, challenging and result-oriented environment? Are you a people person? Then, Apply Now!

Working with one of the top financial clients this role calls for a Quantitative Analyst/Treasury Modelling who will provide quantitative model support to business as usual and strategic Treasury Balance Sheet Management projects and initiatives such as new product launches, integrated Treasury stress testing and scenario analysis tools, the new Asset Liability Management system (Canoe), regulatory requirements for non-trading market risk measuring and management (IRRBB), new market driven initiatives (BRR/IBOR/CDOR replacement) and interest-rate hedging strategies, Hedge Accouting and funds transfer pricing. The successful candidate will perform research industry best practices and support the development of quantitative valuation models for measuring and hedging the interest rate risk of retail, commercial and structured finance products in the book under a multi-curve environment while supporting the development of desktop tools for Front Office and internal partners to support their trading, portfolio management and interest rate hedging activities.

Desired Skill Set:

  • Experience with quantitative analysis/financial engineering.
  • Knowledge of financial markets as well as fixed income portfolio management, hedging techniques and valuation models.
  • Experience in model development or validation with a solid knowledge of stochastic processes
  • Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development
  • High level of self-motivation

Nice to Have: 

  • Solid skills in C++/C#
  • Python and VBA programming experience 
  • Microsoft Office tools (Excel, Word, PowerPoint)
  • Experience in treasury
  • Fixed income and asset backed securities modelling 

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