Analyst/Consultant/Senior Consultant, Quantitative Market Risk Models
Deloitte is the largest 100% Canadian-owned and operated professional services firm, aiming to make a significant impact. In this role, you will provide professional advice to financial services clients on quantitative issues, developing and validating complex market risk models.
Responsibilities
- Develop/validate/review Capital Markets and Market Risk models (e.g. Financial Derivatives Pricing, VaR, Counterparty Credit Risk, XVA, FRTB, IBOR Transition and CCAR models) based on industry best practices
- Learn and work in other quantitative and analytical areas such as credit modeling, forecasting and stress testing, customer behavior modeling, and new innovations such as Machine Learning and Artificial Intelligence
- Carry out various complex financial analyses including independent derivative valuation, customer behavior modeling, and can get involved in new innovations such as Machine Learning and Artificial Intelligence
Skills
- Relevant experience spent within Capital Markets and/or Market Risk, on a model development or model validation/vetting team at a major financial institution
- For Analyst, 0 – 1 year of relevant experience required; for Consultant, 1 – 3 years of relevant experience required; for Senior Consultant, 2 – 5+ years of relevant experience required
- Strong academic background with a PhD or Master's Degree in Mathematical Finance, Financial Engineering, or another relevant post-graduate degree (Engineering, Mathematics, Physics, Statistics)
- Hands-on experiences of financial products (e.g., options, swaps, etc.) and their modeling and calibration including numerically solving PDEs, employing binomial trees, and using Monte Carlo methods across a wide range of products, including interest rate, foreign exchange, equity, commodity, and credit derivatives
- Solid programming skills (e.g., Python, MATLAB, Visual Basic, C++, C#)
- Strong verbal and written communication skills
- Knowledge of quantitative methodologies in market risks (e.g., VaR, FRTB, CCR, XVA, etc.) and Economic Capital is an asset
Benefits
- $4,000 per year for mental health support benefits
- $1,300 flexible benefit spending account
- Firm-wide closures known as "Deloitte Days"
- Dedicated days of for learning (known as Development and Innovation Days)
- Flexible work arrangements
- A hybrid work structure
Company Overview