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.

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 asset classes (rate...