With $129.5 billion in net assets as of December 31, 2012, the Ontario
Teachers' Pension Plan is the largest single-profession pension plan in
Canada. An independent organization, it invests the pension fund's assets
and administers the pensions of 303,000 active and retired teachers in
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||Senior Quantitative Analyst, Model Review and Monitoring
||This position provides oversight accountability of the model performance in production; ensuring production models appropriateness and accuracy; application of model theory review; and adhering to the model review / validation priorities and established review / validation process.
The position is also responsible for reviewing information on production models including status, conditions and model materiality changes.
|Duties and Responsibilities
- Validate production valuation and risk models appropriateness and accuracy and recommend improvements where necessary
- Provide annual performance check of a random sample of financial instruments as well as scheduled model reviews
- Ensure model materiality change and approval conditions are monitored according to established timeline
- Accountable for the quality and timeliness of the production models review / validation results
- Liaise with stakeholders involved in the model development life cycle to ensure efficient production models review
- Conduct reviews in accordance with the current model review / validation process; recommend updates to the process where necessary
- Develop a project plan to review models and validate conditions
- Execute projects under the direction of the Senior Manager.
- Relevant university degree or equivalent experience with focus on Economics, Financial Mathematics, Applied Mathematics, Theoretical Physics, Stochastic Calculus etc
- Ph.D degree in math or sciences an asset
- CFA Charterholder a plus
- Financial Risk Manager (FRM) a plus
- 4-5 years experience in quantitative finance or vetting / validation
- Exposure to complex derivative products
- Proven written & verbal communication skills
- Ability to communicate complex mathematical concepts in clearly understood language
- Solid financial modeling skills; ability to provide effective and efficient review of production models
- Ability to write concise model review /validation reports
- Ability to work independently and with minimal guidance
- Ability to manage change and challenge existing working patterns and processes
- Project management skills
- Excellent technical report writing skills
- Proficient analytical and quantitative ability
- Experienced with database tools such as MS Access or SQL Server
- Knowledge of Matlab, VB or VBA, Fincad, Developer SQL, C#, C++
Interested Candidates can apply directly via our website at http://www.otpp.com/wps/wcm/connect/otpp_en/Home/Corporate+Info/Careers/Career+Opportunities+site/. We appreciate your interest and will contact you if a meeting is required.
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