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Model Developer x4
Ref No.: 18-05452
Location: TORONTO, Ontario
Title: Model Developer - 27647
Location: Toronto
Duration: 6 Months

Job Description:
• Analysis and translation of FRTB requirements/equations/mappings into near-production ready model design and code
• Development and testing of FRTB SA Models (SBM, DRC, RRAO)
• Development and testing of FRTB IMA Models (IMCC, Back testing, DRC, NMRF, PLA)

• Assist and support NMRF analysis and solution design including deciding how to classify risk factors as modellable/non-modellable
• Coding in C# for impact analysis for different universe of FRTB Risk Factors (RF)
• Coding in C# for bucketing analysis for modellable RF and impact on P&L attribution test, ES capital, and NMRF
• Coding in C# for NRMF & IMA capital analysis considering the above
• Interface with Upstream and Downstream team leads to ensure smooth data transitions and define comprehensive unit test coverage
• Collaborate with Market Risk, Market Risk Infrastructure and Capital Markets Technology teams to establish best practices, identify optimal technical solutions

Must (as many categories as possible):
• PhD or Master/Bachelor's degree in computer science, applied math, data science or related technical degree
• Basel Regulations (Basel III, FRTB) experience
• Strong knowledge and experience in C#
• Knowledge of MFL is desirable
• Valuation and Risk Management exposure
• Service Oriented API development experience
• 5+ years of work experience in large teams, in financial services industry, particularly performing model design and development
• Strong SQL and exceptional MS Excel skills
• Hands on experience with testing / mocking framework
• Good communicator who asks questions and is also self-motivated, focused, and is continually setting goals

Nice to have skills/experience:
• PMP preferred

• Minimum Master's degree in an quantitative field