Our client, a large Canadian Bank, is looking to add a Senior Manager of Risk to their team. This role supports the XVA trading book and it's related hedges for pricing, risk attribution and quantitative modelling. The Senior Manager of Risk will be responsible for building pricing models for the XVA book including CVA, DVA, KVA and FVA. In addition, the role will liaise heavily with the risk, ALGO and front office teams.
- Undergraduate or Masters Degree in Mathematics or Statistics
- 5+ years in a risk related role with an understanding of XVAs. Pursuing FRM nice to have
- Strong technical skills including VBA, SQL, Access, Python, R, C++ and Matlab
- Experience running Monte Carlo modelling
If you are qualified and interested in this position please send your resume to Toronto@ifgpr.com today