Sr. Quantitative Modelling Developer (CCR)

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 (rates, FX, credit)
• Lead real world calibration of existing simulation models within the front office system (LITES)
• Prototype and implement new calibration methodologies (primarily in Python, integrated with C# systems)
• Generate and analyze CCR exposure metrics including PFE and related measures
• Own technical delivery in a fast paced, project driven environment, balancing multiple priorities and deadlines
• Collaborate closely with:
  • Front office quants
  • Project managers
  • CCR / risk stakeholders

We are a company committed to creating diverse and inclusive environments where people can bring their full, authentic selves to work every day. We are an equal opportunity/affirmative action employer that believes everyone matters. Qualified candidates will receive consideration for employment regardless of their race, color, ethnicity, religion, sex (including pregnancy), sexual orientation, gender identity and expression, marital status, national origin, ancestry, genetic factors, age, disability, protected veteran status, military or uniformed service member status, or any other status or characteristic protected by applicable laws, regulations, and ordinances. If you need assistance and/or a reasonable accommodation due to a disability during the application or recruiting process, please send a request to View email address on ca.talent.com learn more about how we collect, keep, and process your private information, please review Insight Global's Workforce Privacy Policy:

Skills and Requirements

Counterparty Credit Risk (CCR) Experience:

• Extensive industry experience in CCR system implementation, with direct involvement in building or enhancing a Monte Carlo–based CCR platform
  • (Experience specifically in CCR is critical; other areas of market risk are not sufficient)

Quantitiative Background:

• Strong quantitative background in financial engineering
  • Hands on experience with derivative pricing (not just theoretical knowledge)
  • Deep expertise in Monte Carlo simulation models and evolution models for major asset classes (interest rates, FX, credit)
  • Strong knowledge of industry standard models

Real-World Model Calibration Experience:

• Proven experience in real-world model calibration
  • Implemented or maintained calibration methodologies in production environments
  • Strong understanding of practical calibration challenges (beyond theoretical or risk only calibration)
• Demonstrated experience implementing, supporting, or developing front office or CCR systems
• 7+ years of experience, including at least 4–5 years focused on CCR / Monte Carlo exposure modelling

Strong programming skills:

• C# (front office systems)
• Python (prototyping and implementation of calibration frameworks)
• Familiarity with Excel and spreadsheets

Education:

• Bachelor’s degree required; PhD preferred (Finance, Engineering, Mathematics, Statistics, or Computer Science)
  • Master’s degree acceptable with stronger industry experience
  • Ability to take full ownership of technical documentation
  • Clear, detailed methodology documentation (not high level or generic)
• Experience developing new quantitative methodologies
  • Quantifying, documenting, and presenting approaches to senior stakeholders