Job Description
Job Description
We are hiring a Senior CCR Quantitative Modelling Developer to support a large scale Counterparty Credit Risk (CCR) replacement project for a top bank in downtown Toronto. This is a newly created role following a project reorganization and will play a critical role in building an internal Monte Carlo–based CCR solution to replace a vendor system (Adpativ).
This is a hands on quantitative engineering role requiring deep experience in CCR exposure modelling, Monte Carlo simulation, and real world model calibration, with close interaction with front office quantitative systems.
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Key Responsibilities (Day to Day)
• Contribute to a CCR replacement initiative, implementing an internal solution to replace a vendor platform
• Work hands on with an existing front office CVA/DVA pricing system and extend it to cover CCR needs
• Develop, implement, and maintain Monte Carlo exposure models across major a...
We are hiring a Senior CCR Quantitative Modelling Developer to support a large scale Counterparty Credit Risk (CCR) replacement project for a top bank in downtown Toronto. This is a newly created role following a project reorganization and will play a critical role in building an internal Monte Carlo–based CCR solution to replace a vendor system (Adpativ).
This is a hands on quantitative engineering role requiring deep experience in CCR exposure modelling, Monte Carlo simulation, and real world model calibration, with close interaction with front office quantitative systems.
________________________________________
Key Responsibilities (Day to Day)
• Contribute to a CCR replacement initiative, implementing an internal solution to replace a vendor platform
• Work hands on with an existing front office CVA/DVA pricing system and extend it to cover CCR needs
• Develop, implement, and maintain Monte Carlo exposure models across major a...
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