Director, Products and Hedging Solutions
Aon
- Toronto, ON
- Permanent
- Full-time
- Lead Treasury Services including Stock Repurchase and FX hedging strategies.
- Supervise the development and implementation of innovative hedging and asset management strategies in PathWise to effectively manage complex exposures that combine Actuarial, Financial, and Capital Market risks.
- Lead the development- of sophisticated financial asset and liability models in PathWise to support various investment management and risk management projects.
- Lead quantitative research projects that support investment decision processes, utilizing quantitative skills, such as time series regressions, optimization, Monte Carlo simulation, and data visualization techniques.
- Lead the development of Economic Scenario Generators used in the valuation of financial assets and insurance liabilities.
- Further the development of robust processes for hedging, strategic asset allocation, scenario generator calibration and insurance company financial reporting.
- Provide expert analytical support to portfolio managers, traders, and risk managers on the risk, return and transaction cost/market impact of investment portfolios and strategies.
- Strong analytical and problem solving skills
- 10+ Experience as a risk analyst at a bank or investment management firm
- Experience with Accelerated Stock Repurchase (ASR) and Enhanced Open Market Repurchase (eOMR) programs at a bank
- Expert Knowledge of equity derivatives, cash and FX markets
- Expert knowledge of market microstructure: liquidity, price formation & discovery, transaction & timing costs
- Graduate degree in a quantitative discipline (Financial Engineering, Mathematical Finance), PhD preferred.
- Expert knowledge of financial assets including exotic derivatives and their valuation models
- Expert knowledge of stochastic interest rate and equity models
- Knowledge of statistics, finance and economics
- Strong numerical technique skills in PDE, optimization, time series analysis and Monte-Carlo simulation
- Expert programming skills in Python
- Experience implementing quantitative finance libraries in Python or C++
- Strong communication skills for heavy team and client interactions
- Ability to work well in a fast-paced environment with changing priorities
- Experience working with financial software packages such as Numerix, FinCAD a plus