Quantitative Analyst

  • Competitive
  • Toronto, ON, Canada
  • Permanent, Full time
  • IHS Markit
  • 17 Dec 18

Quantitative Analyst

Department overview:

The Quantitative Analytics Group (QAG) supports the entire Information division in Markit and offers expertise on all quantitative issues within the company. Using a broad range of mathematical and statistical techniques in conjunction with technology, we develop all types of models for various businesses such as Portfolio Valuations, CDS Data, Indices, Structured Finance, OTC Derived Data. Applications include derivatives valuation, risk calculations, data cleaning algorithms, fair value, scenario analysis, etc.

Position summary:

The candidate will work with other experienced quantitative analysts, developers and product specialists to support and develop models to be used in the creation and improvement of market data products for several business lines within the Information division, in particular the OTC derived data team. The methods will be a combination of financial modelling and statistical techniques, with particular emphasis on Bayesian inference schemes.

Duties & accountabilities:

Contribute to improvements on existing models and processes used daily in derivative pricing and/or market data product creation and dissemination.
Work with other quants, product specialists and developers to develop new models as required by various businesses within the Information division. Particular projects may arise in any derivative asset class (fixed income, equity, credit, commodity) or in non-derivative areas (bond pricing and analytics, indices).

Business competencies:

Education and experience:
MSc/PhD in a quantitative subject e.g. Math, physics, computer science
Experience with derivatives pricing models and/or risk models.
Knowledge of mathematical finance, stochastic calculus, probability theory, PDEs
Experience with numerical methods such as Monte Carlo, Finite Differences
Familiarity with object oriented programming (eg. Java / C++)
Strong problem solving skills
High level of attention to detail

Personal competencies:

Personal impact:
Detail oriented and self-starter

Ability to clearly communicate sophisticated concepts

Ability to work in a team environment, and across different functional teams

It is the policy of IHS Markit to provide equal employment opportunity (EEO) to all persons regardless of age, color, national origin, citizenship status, physical or mental disability, race, religion, creed, gender, sex, sexual orientation, gender identity and/or expression, genetic information, marital status, status with regard to public assistance, veteran status, or any other characteristic protected by federal, state or local law. In addition, IHS Markit will provide reasonable accommodations for qualified individuals with disabilities. We maintain a drug-free workplace. For candidates in the US, we are a participant in E-Verify (see link below).

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