Senior Quantitative Analyst

<p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><i><u><span lang="EN-CA" style="color:#212121">Skill Matrix to be filled by Candidates:</span></u></i></b></span></span></p> <p> </p> <table class="Table" style="border-collapse:collapse"> <tbody> <tr> <td style="border-bottom:1px solid black; width:215px; padding:0in 7px 0in 7px; border-top:1px solid black; border-right:1px solid black; border-left:1px solid black" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:#212121">Mandatory Skills</span></b></span></span></p> </td> <td style="border-bottom:1px solid black; width:84px; padding:0in 7px 0in 7px; border-top:1px solid black; border-right:1px solid black; border-left:none" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:#212121">Years of Experience</span></b></span></span></p> </td> <td style="border-bottom:1px solid black; width:108px; padding:0in 0in 0in 0in; border-top:1px solid black; border-right:1px solid black; border-left:none" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:#212121">Year Last Used</span></b></span></span></p> </td> <td style="border-bottom:1px solid black; width:162px; padding:0in 7px 0in 7px; border-top:1px solid black; border-right:1px solid black; border-left:none" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:#212121">Rating Out of 10</span></b></span></span></p> </td> </tr> <tr> <td style="border-bottom:1px solid black; width:215px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif">Fixed Income Modeling and Risk Modeling</span></span></p> </td> <td style="border-bottom:1px solid black; width:84px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:108px; padding:0in 0in 0in 0in; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:162px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"> </span></span></p> </td> </tr> <tr> <td style="border-bottom:1px solid black; width:215px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif">Market Risk Concepts (VaR, Greeks, PnL attribution)</span></span></p> </td> <td style="border-bottom:1px solid black; width:84px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:108px; padding:0in 0in 0in 0in; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:162px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> </tr> <tr> <td style="border-bottom:1px solid black; width:215px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif">Python Programming for Quantitative Finance</span></span></p> </td> <td style="border-bottom:1px solid black; width:84px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:108px; padding:0in 0in 0in 0in; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:162px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> </tr> <tr> <td style="border-bottom:1px solid black; width:215px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="top"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif">Model Validation and Regulatory Compliance (e.g SR 11-7)</span></span></p> </td> <td style="border-bottom:1px solid black; width:84px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:108px; padding:0in 0in 0in 0in; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> <td style="border-bottom:1px solid black; width:162px; padding:0in 7px 0in 7px; border-top:none; border-right:1px solid black; border-left:none" valign="top"> <p> </p> </td> </tr> </tbody>
</table> <p> </p> <table class="Table" style="width:845px; border-collapse:collapse" width="845"> <tbody> <tr> <td nowrap="nowrap" style="border-bottom:1px solid black; width:401px; padding:0in 7px 0in 7px; height:19px; background-color:#00b0f0; border-top:1px solid black; border-right:1px solid black; border-left:1px solid black" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><span style="color:white">Position Details</span></span></span></p> </td> <td nowrap="nowrap" style="border-bottom:1px solid black; width:444px; padding:0in 7px 0in 7px; height:19px; background-color:#00b0f0; border-top:1px solid black; border-right:1px solid black; border-left:none" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><span style="color:white">Requirement</span></span></span></p> </td> </tr> <tr> <td nowrap="nowrap" style="border-bottom:1px solid black; width:401px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><span style="color:black">Role</span></span></span></p> </td> <td nowrap="nowrap" style="border-bottom:1px solid black; width:444px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:none" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b>Senior Quantitative Analyst - Fixed Income and Market Risk</b></span></span></p> </td> </tr> <tr> <td nowrap="nowrap" style="border-bottom:1px solid black; width:401px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:black">Location (Need Local Candidates only)</span></b></span></span></p> </td> <td nowrap="nowrap" style="border-bottom:1px solid black; width:444px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:none" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b>NYC, NY (Need local candidates only) (3days Onsite)</b></span></span></p> </td> </tr> <tr> <td nowrap="nowrap" style="border-bottom:1px solid black; width:401px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:1px solid black" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><span style="color:black">Type of Hire - Contract/ C2H</span></span></span></p> </td> <td nowrap="nowrap" style="border-bottom:1px solid black; width:444px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:none" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:black">Contract</span></b></span></span></p> </td> </tr> <tr> <td nowrap="nowrap" style="border-bottom:1px solid black; width:401px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:1px solid black"> <p align="center" style="text-align:center"><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><b><span style="color:black">Job Description</span></b></span></span></p> </td> <td nowrap="nowrap" style="border-bottom:1px solid black; width:444px; padding:0in 7px 0in 7px; height:19px; border-top:none; border-right:1px solid black; border-left:none" valign="bottom"> <p><span style="font-size:11pt"><span style="font-family:Calibri,sans-serif"><span style="color:#7f7f7f">Description</span> </span></span></p> <ul> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Proven experience in pricing and risk modeling for fixed income trading products, with a focus on leveraged loans.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Strong understanding of model theory, calibration techniques, and dynamics of one-factor interest rate models, including the Hull-White model.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Advanced Python programming skills, with hands-on experience in testing financial models.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Experience with Numerix or comparable vendor-based modeling systems.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Proficient in designing and validating Profit and Loss (PnL) attribution frameworks.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Deep knowledge of market risk concepts and regulatory standards, including Value at Risk (VaR) using historical simulation, model sensitivity analysis (Greeks), and model validation practices aligned with SR 11-7 guidelines.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Demonstrated expertise in model development documentation, and implementation guides.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Excellent communication skills - both verbal and written.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Collaborative Team player with a proven track record of taking initiative and delivering results.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Excellent skills with Excel, Word and PowerPoint are mandatory.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Advanced degree (Master’s or Ph.D.) in a quantitative discipline such as Finance, Engineering, Physics, Mathematics, Statistics, Computer Science, or Quantitative Finance, with a strong background in modeling.</span></span></span></li> <li><span style="font-size:11pt"><span style="tab-stops:list .5in"><span style="font-family:Calibri,sans-serif">Minimum of 7-10 years of experience in developing and/or validating trading book market risk models within the financial services industry.</span></span></span></li> </ul> <p class="MsoNoSpacing"> </p> </td> </tr> </tbody>
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