Director, Derivative Modeling

Manulife; Old Toronto; Hybrid; CAD 105,000 - 191,000; Full time

Job summary

An established industry player is seeking a Director/Manager for their Derivative Modeling team. This role involves developing advanced valuation methodologies and implementing derivative models to support various business units. You will collaborate closely with traders and portfolio managers, ensuring model performance and compliance with risk management requirements. The position offers a hybrid work environment and a competitive salary package. If you possess a strong background in quantitative finance and programming, this is a fantastic opportunity to make a significant impact in a dynamic financial landscape.

Benefits

Health Insurance

Dental Insurance

Mental Health Support

Vision Insurance

Disability Insurance

Life Insurance

Retirement Plans

Financial Education Resources

Wellness Programs

Qualifications

• 5+ years of modeling experience in financial services for Director role.
• Strong foundation in quantitative finance and derivatives pricing.

Responsibilities

• Develop valuation curves and pricing models for new business initiatives.
• Provide quantitative support on valuation anomalies and curve data analysis.

Skills

Quantitative Finance

Modeling Experience

Python Programming

Communication Skills

Problem Solving

Object-Oriented Programming

Education

Master’s Degree in Finance

PhD in related fields

Tools

FINDUR

Bloomberg

Numerix/Fincad

VB/VBA

C/C++

Matlab

Job description

The Derivative Modeling team provides modeling and quantitative analysis to support trading, strategic decision-making, risk management, collateral management, and financial reporting across Manulife. The Director/Manager, Derivative Modeling, is responsible for developing advanced valuation methodologies, designing and implementing derivative models, and delivering quantitative solutions to support various business units.

Responsibilities:

1. Develop valuation curves and derivative pricing models to support new business initiatives in collaboration with traders and portfolio managers. Monitor model performance over time and drive continuous improvements.
2. Execute scheduled model and curve reviews to ensure ongoing effectiveness in alignment with Model Risk Management requirements.
3. Address modeling issues in FINDUR by collaborating with the vendor for resolution, developing workaround solutions, and designing internal pricing tools as necessary.
4. Build internal benchmarks in Python for mark-to-market calculations, sensitivity simulations, and scenario analysis.
5. Provide quantitative support to Derivative Middle Office on valuation anomalies, collateral breaches, curve data source analysis, FINDUR general functionality testing, deal configurations, and curve/model implementation.

Qualifications:

1. Advanced degree (Master’s required, PhD preferred) in Finance, Mathematics, Physics, Engineering, Statistics, or Actuarial Science.
2. Minimum five years of modeling related experience in the financial services industry for a Director position, or 2 years for a Manager position.
3. Strong foundation in quantitative finance and contingent claim theory, with familiarity in market practices for pricing fixed income, interest rate, equity, currency, and credit derivatives.
4. Extensive knowledge of programming languages (e.g., Python, VB/VBA, C/C++, Matlab), with preference for object-oriented programming experience.
5. Experienced user/quick learner of valuation, market data, and trading systems (e.g., FINDUR, Numerix/Fincad, Bloomberg, etc.)
6. Proven track record of conceptualizing solutions to complex technical issues.
7. Strong communication skills (both oral and written) with the ability to build effective working relationships.
8. Self-motivated and hands-on, able to analyze problems, research solutions, and implement them.
9. Strong sense of urgency and ability to meet tight deadlines.

About Manulife and John Hancock

Manulife Financial Corporation is a major international financial services provider that helps people make decisions more easily and live better. For more information, visit http://www.manulife.com.

Manulife is an equal opportunity employer

At Manulife/John Hancock, we value diversity. We strive to attract, develop, and retain a workforce as diverse as our clients, fostering an inclusive work environment that leverages the strengths of different cultures and people. We are committed to fairness in hiring, retention, promotion, and compensation, conducting all practices without discrimination based on race, ethnicity, gender, age, disability, or other protected characteristics.

We prioritize removing barriers to ensure equal access to employment. A Human Resources representative will work with applicants who require reasonable accommodations during the application process. All information shared during this process will be handled in accordance with applicable laws and policies. To request a reasonable accommodation, email us at [e-mail].

Primary Location

Toronto, Ontario

Workweek Type

Hybrid

Salary Range

CAD $105,750.00 - $190,350.00

If applying from outside the primary location, contact [e-mail] for salary range information. Actual salaries vary based on local market conditions, geography, and relevant factors such as knowledge, skills, qualifications, experience, and education/training. Employees may also participate in incentive programs linked to business and individual performance.

Manulife offers a comprehensive benefits package including health, dental, mental health, vision, short and long-term disability, life and accidental death insurance, adoption/subrogation, wellness programs, retirement plans, and financial education resources. For US-based applicants, contact [e-mail] for specific US leave policies.