Job SummaryThis role is responsible for researching and proposing quantitative models for HOOPP's derivatives products across all asset classes. Following independent review and approval by the Director of Model Validation, the incumbent will develop and prototype pricing models and lead the automation and implementation of these models within the Numerix production environment.
In addition to pricing model development, this role will explore optimal solutions for model-based sensitivity and Greeks calculations across a range of physical and derivatives instruments, as well as the development of robust, market-driven analytics to support performance attribution and decision-making processes.
This role offers a unique opportunity to contribute to HOOPP's evolving valuation framework through innovative model design, technical execution, and close collaboration with internal stakeholders across Investment, Risk, Technology, and Finance teams.
What you will do:- Provide model recommendations for newly invested derivatives products, supported by in-depth analytical reports to justify the mathematical soundness and applicability of each proposed model.
- Under the guidance of senior team member or manager to conduct the full cycle of quantitative model development for derivatives pricing, post-deployment verification. This includes model selection, prototype construction, market and position data consolidation, scripting for production implementation, end-to-end testing (Dev to UAT), defect resolution, and pre/post-production review and analysis.
- Offer subject matter expertise to support senior management in making sound and balanced decisions on complex valuation matters.
- Conduct ongoing reviews of market data quality in accordance with industry standards, with a focus on volatility surfaces, dividend curves, and interest rate curves, to prevent the use of stale or anomalous data in the production environment.
- Collaborate closely with the Model Validation team to formalize and maintain model inventory documentation, conduct periodic reviews and calibrations of existing models, and drive enhancements using innovative and creative approaches.
- Participate in valuation-related projects aligned with departmental and Finance division strategic priorities, contributing research, analysis, and recommendations as needed.
- Explore and implement best practices to mitigate HOOPP's exposure to undue valuation risk. Continuously identify opportunities to improve processes through new technologies, tools, and methods.
- Provide technical support to team members in the development and testing of valuation models, and in executing ongoing model-related tasks to ensure the accuracy and integrity of HOOPP's valuations. Troubleshoot and resolve issues proactively.
- Contribute to the development and enhancement of sensitivity and Greeks modeling for both physical and derivatives assets, including improvements to PV01 and CS01 calculations using Numerix methodology. Evaluate and implement optimal approaches for various derivatives instruments to improve risk and valuation analytics.
What you bring:- Advanced degree (Master's or Ph.D.) in Quantitative Finance, Statistics, Mathematics, Physics, Engineering, Computer Science, or related fields.
- 3 to 5 years of relevant experience in quantitative finance, derivative modeling, model validation, valuation methodologies.
- CFA and FRM designations are preferred.
- Product knowledge: Advanced theoretical and specialization knowledge of a broad range of valuation models used in the financial industry, especially financial engineering and derivative pricing models.
- Technical Skills: Experience with pricing models and SQL required; hands-on capability in programming language (e.g. Python, C, or C++); familiarity with Power BI advantageous.
- Analytical Abilities: Strong ability to research complex issues, analyze problems, synthesize information, and make recommendations often by identifying innovative solutions. Extensive experience in researching, developing and implementing quantitative models for various analytical initiatives.
- Attention to Detail: High emphasis on accuracy and completeness, with the ability to manage multiple tasks efficiently.
- Intellectual curiosity, a passion for technology and a commitment to demonstrate HOOPP values.
- Desire to learn in a highly collaborative environment and influence others to adopt a different point of view.
- Ability to work collaboratively in a team environment, while also taking ownership of projects independently.
The expected annual base salary range for this role is: $103,000 - $153,000 CAD
The actual base salary offered to the successful candidate may vary based on multiple factors including, but not limited to, individual's expertise and level of experience applicable to the role they are being offered. This role is eligible to participate in discretionary incentive plan(s), subject to the terms and conditions of the applicable incentive plan text. This job is for an existing vacancy.
HOOPP may use artificial intelligence tools to assist in screening, assessing and selecting applicants for this position. These tools support our recruitment process but do not replace human judgment and decision-making.
