I am looking for a Permanent Full time intermediate Quantitative Analyst who has strong programming skills and data management background with financial knowledge (i.e., bonds, mortgages, derivatives). 2-5 years of financial model programming will be strongly preferred.
Contact: Iris Shen
Email your resume: iris.shen@randstad.ca
Deadline: ASAP
Job Order Profile - Quantitative Analyst (Permanent Position)
Client Name: one of the Federally regulated Schedule I bank
Number of Positions: 1
Must Have Skills:
Excellent Communication Skills - (>5Y)
University Degree - (2-3Y) with a focus on math and a minor in finance and/or computer science
SQL - (2-3Y)
Matlab - (2-3Y)
VBA (2-3Y)
SDLC Knowledge - (2-3Y)
2 to 5 years of experience in financial model programming (i.e. fixed income, portfolio optimization, derivative valuation, etc.)
Accounting/Financial knowledge (i.e. bonds, mortgages, derivatives and yield curves, Sound technical knowledge of derivative cashflow modeling and valuation) - (2-3Y)
C# and .NET are nice to have
Internal Description:
location is Yonge and St Clair
net new position due to growth
needs to have strong understand of finance (especially stocks and bonds) and programming
reports to the VP of Treasury
Purpose of Job:
The incumbent is responsible for quantitative analysis and software development for the
Treasury group.
Main Activities:
50% Develop software processes and quantitative models
Model development is intended to automate departmental work. Existing spreadsheet based processes are targeted for migration to new coded solutions. Function supports the management of Interest Rate Risk, Liquidity Risk and supports analytical capabilities.This includes the following:
- Build coded solutions and processes to automate existing spreadsheet based analysis and to replicate results from other platforms (i.e. BancWare). This later analysis is not possible within spreadsheets.
- Where migration is inefficient, build/update existing Microsoft Excel spreadsheets and analysis.
- Document all code and approaches. Build routines to validate results. Build code modification procedures.
- Software used would be Matlab and VB code/macros, but could expand into other coding languages (i.e. C# .NET). The function supports the reporting and analytical needs of Treasury.20% Enhance and develop product behavioural analysis models
Existing behavioural models are to be studied, improved where beneficial, and streamlined for ease of update. New models are to be created where needed. Function primarily supports the management of Interest Rate and Liquidity risks, but also benefits pricing decisions.
This includes the following:
- Review existing behavioural analysis, enhance analysis where beneficial (i.e. where results are particularly sensitive to improved behaviour modeling), and streamline analysis processes. Requires the review of existing data and enhancing for other needed data.
- Develop new behavioural analysis. Obtain necessary data for the analysis.
- Document all analysis methods and defend during audit reviews.
- Present analysis for approval and integration into IRR, liquidity and RAROC modeling.
- Software used is expected to be Matlab and Excel. The function supports the management of interest rate risk and liquidity risk.20% Manage data for Treasury needs
Modeling data is sourced from numerous platforms, stored in various forms (spreadsheet, databases), transformed for analysis and stored in the corporate data warehouse. Analyst must support the management of the Company’s mortgage pricing ROE model.
This includes the following:
- Understand and document all data flows for existing analysis (i.e. raw sources, transformations, final location). This is the data architecture for Treasury data. Work with external groups for needed data (i.e. IT, digital banking, SIT).
- Build SQL databases and input mechanisms for Excel-based storage.
- Monitor the daily data dictionary uploads. Modify SQL and ODBC script queries as needed. Support data requests for IRR and liquidity modeling.
- Software used would be SQL and would likely expand into other coding languages (i.e. C# .NET). 3 The function supports the reporting and analytical needs of Treasury.10% Other Analysis
Support other Treasury, Finance and corporate requests.This includes the following:
- Support accounting, capital markets and investor relation functions with required analysis and reporting.
- Support Treasury function with additional development. Provide reports for ALCO and ERM meetings. This includes interest rate analysis as required (yields, spreads, option costs).
- The function supports the financial reporting process, OSFI reporting and management reporting.