Data Scientist, Market Risk Model Design
1170, rue Peel, Montréal, Canada
CAD 80K-128K (estimate) Senior-level Part Time
Tasks
- Analyze risk modelling practices and propose improvements
- Document regulatory framework methodologies for FRTB SIMM ICAAP
- Draft methodological documentation for derivatives and market risk models
- Implement new products in risk systems
- Participate in workshops to formalize model needs
- Review model inputs and components with stakeholders
- Update quantification methodologies for VaR and stress tests
Perks/Benefits
- Flexible vacation
- Group insurance
- Health and wellness reimbursement
- Pension plan
- Telemedicine
- Telework equipment
Skills/Tech-stack
Derivatives | Excel | FIS Adaptiv | FRTB | ICAAP | MSCI RiskMetrics | Model Documentation | Murex | Python | SIMM | SQL | Stress Testing | Value-at-Risk
Education
Roles
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