Director, derivative modeling

The Derivative Modeling team provides modeling and quantitative analysis to support trading, strategic decision-making, risk management, collateral management and financial reporting across Manulife. The Director/Manager, Derivative Modeling is responsible for developing advanced valuation methodologies, designing and implementing derivative models, and delivering quantitative solutions to support various business units.

Responsibilities:

• Develop valuation curves and derivative pricing models to support new business initiatives in collaboration with traders and portfolio managers. Monitor model performance over time and drive continuous improvements.

• Execute scheduled model and curve reviews to ensure ongoing effectiveness in alignment with Model Risk Management requirements.

• Address modeling issues in FINDUR by collaborating with the vendor for resolution, developing workaround solutions, and designing internal pricing tools as necessary.

• Build internal benchmarks in Python for mark-to-market calculations, sensitivity simulations, and scenario analysis.

• Provide quantitative support to Derivative Middle Office on valuation anomalies, collateral breaches, curve data source analysis, FINDUR general functionality testing, deal configurations, and curve/model implementation.

Qualifications:

• Advanced degree (Master’s required, PhD preferred) in Finance, Mathematics, Physics, Engineering, Statistics, or Actuarial Science.

• Minimum five years of modeling related experience in the financial services industry for a Director position, or 2 years for a Manager position.

• Strong foundation in quantitative finance and contingent claim theory, with familiarity in market practices for pricing fixed income, interest rate, equity, currency and credit derivatives.

• Extensive knowledge of advanced programming languages (e.g., Python, VB/VBA, C/C++, Matlab), with preference for object-oriented programming experience.

• Experienced user/quick learner of valuation, market data and trading systems (e.g., FINDUR, Numerix/Fincad, Bloomberg, etc.)

• Proven track record of conceptualizing solutions to complex technical issues.

• Strong communication skills (both oral and written) with the ability to build effective working relationships.

• Self-motivated and hands-on, able to analyze problems, research solutions, and implement them.

• Strong sense of urgency and ability to meet tight deadlines.