Manager - Model Validation/Approval valuation

Nexus Systems Group Inc.; Toronto; On-site; CAD 70,000 - 90,000; Full time

Job summary

A financial services firm in Toronto is seeking a candidate to support the validation of derivative pricing models used in capital markets. The ideal applicant will have 1-2 years of experience in quantitative roles and proficiency in Python programming, as well as an advanced degree in a quantitative field. Strong analytical skills and the ability to work on concurrent projects are essential. Competitive compensation and opportunity for growth are offered.

Qualifications

• 1 to 2 years of experience in quantitative roles such as model development or validation.
• In-depth knowledge of product types and modeling techniques like equity derivatives and local volatility models.
• Strong knowledge of applied mathematics/statistics and numerical methods.

Responsibilities

• Support validation of derivative pricing models for capital market and risk management.
• Provide reports to the model approval committee summarizing findings.
• Manage validation projects and document methodologies.

Skills

Python Programming

Model validation

Effective project management

Statistical analysis

Education

Advanced degree in quantitative fields

Job description

Candidate Value Proposition

Candidate Value Proposition: The successful candidate will have the opportunity to learn capital market valuation and risk models.

Typical Day in Role

• Support Director/Senior Manager to validate derivative pricing models used in capital market and risk management for various purposes
• Provide reports for the summary of findings and opinions to the model approval committee
• Perform model testing and documentation
• Support Director/Senior Manager to validate derivative pricing models used in the capital market and risk management for various purposes including P/L calculation, sensitivity calculation, and limit monitoring, etc.
• Manage the validation projects independently or work in a group; review model documentation; conduct research on new methodology and validation techniques; design and implement validation test plan.
• Provide reports for the summary of findings and opinions to the model approval committee.
• Manage relationships with key contacts as identified for each validation request submission
• Comply with internal policies, procedures, and regulatory requirements where applicable
• Provide support to large-scale projects as required
• Keep abreast of industry and regulatory developments and evolving expectations; develop relationships with counterparts at other financial institutions

Qualifications

• 1) 1 to 2 years experience in quantitative positions such as model development or model validation.
• 2) 2 years experience in Python Programming.
• 3) In-depth knowledge in one or more of the following product types and modeling techniques is preferred: equity derivative, fixed income derivative, commodity derivatives, fx and credit derivatives; local/stochastic volatility modeling, IR curve bootstrapping, etc.
• 4) Strong knowledge in applied math/statistics and numerical methods such as Monte Carlo simulation, Bi-Nomial Tree and numerically solving PDE.

Nice-To-Have Skills

• Industry certification or credentials will be an asset (e.g. CFA, FRM)

Soft Skills

• 1) Effective project and time management to efficiently deliver concurrent projects with competing priorities with good quality.
• 2) Ability to supervise as well as independently deliver work assignments efficiently.
• 3) Constructive conflict management ability; ability to collaborate effectively with model owner/sponsor counterparts as well as internal audit and regulators.
• 4) Effective presentation and strong spoken and written communication skills are essential.

Education

Advanced degree in quantitative fields such as Mathematics, Physics, Computer Science, Financial Mathematics, Financial Engineering (Master or above - mandate, Ph.D. Preferred).