[cmath] Financial Mathematician - Lake Shore, Group of Companies
Alan Kelm
akelm at cms.math.ca
Tue Feb 27 11:49:05 EST 2007
JOB DESCRIPTION - Financial Mathematician
DIVISION
Research and Development
REPORTING
Reports to Senior Partner of Research and Development
PROFILE
Your initial responsibility will be to continue with the development we
have started with multi-variate risk analysis models and optimization
strategies. Additional responsibilities will include development of the
mathematical equations and literature to support this project and other
projects as they may arise. You will be working closely with the senior
asset managers and assisting them with your technical mathematical
expertise. You will be responsible for mathematical research with all new
initiatives.
TECHNICAL SKILLS
Experience and knowledge in the following areas is an asset but an
authority is not required.
- Experienced working in a MATLAB environment
- Time series analysis
- GARCH and ARMA modeling
- Univariate distribution modeling
- Variance at Risk (VAR)
- Extreme Value Theory
- Peaks over Threshold
- Monte Carlo simulation
- Optimization techniques
- Derivative security modeling (less important).
- Knowledge of copulas
PROFESSIONAL SKILLS
- University degree in mathematics, preferable Masters in Mathematics or
Financial Mathematics
- Strong technical and research skills is essential
- Practical experience with the technical skill sets is an asset, however
academic experience is acceptable
- Ability to work independently as well as to be effective in a group setting
JOB ENVIRONMENT
- Based in Oakville/Burlington area
- Hardware and Software requirements will be provided
- An office will be provided but there is flexibility to work from home
CONTACT INFO:
Katherine Slak
katherine_slak at yahoo.ca
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This employment position is among those listed in the Employment section
of the CMS website:
http://cms.math.ca/Employment
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