Modelling / Forecasting Senior Analyst (Quants)

TD•Toronto, ON

1d•CA$81,600 - CA$115,200•Onsite

About The Position

The Treasury and Balance Sheet Management (TBSM) department of TD Bank manages TD's non-trading market risk, liquidity risk, capital, investment portfolios, wholesale funding programs, pension plans, and fund transfer pricing to the businesses. The Treasury Applied Research team is responsible for ensuring appropriate models and quantitative methodologies are in place to support TBSM's broad accountabilities as well as to advance the proper usage of quantitative models and data-driven analytics to support the allocation of scarce financial resources (capital, liquidity and funding) and improve decision making. Within the Treasury Applied Research team, the Valuation Model Development team supports the valuation/pricing model methodology and development for various asset and liability positions on TD's balance sheet, as well off-balance sheet products such as interest rate hedging instruments and related derivatives.

Requirements

Strong quantitative skills with a graduate degree in one or more of the related areas such as mathematics, physics, computer science, statistics, and 1-3 years of experience in quantitative analysis / financial engineering is ideal.
Strong analytical & communication skills and demonstrated track record of creative problem solving & solution development.
High level of self-motivation

Nice To Haves

Experience in Model Development and/or Model Validation is desirable.
Experience in fixed income, structured product, market risk related area is a plus.
Experience in QRM, INTEX, and other financial vendor platforms is a plus.
Strong Technical writing skills, especially on financial model documentation.
Experience using coding languages such as C++/C#, Python, R, VBA programming is a plus.

Responsibilities

Provide quantitative modelling support to TBSM Business As Usual (BAU) activities, strategic TBSM projects/initiatives, Treasury stress testing (DFAST/EWST/MST), and Hedging Accounting, etc.
Research industry best practices and support the development of quantitative valuation models for measuring and hedging the interest rate risk of retail, commercial and structured finance products in the Banking book.
Work on MDR/AMR/OMR model submission to meet TD's internal model risk management requirement. Address model validation, internal/external audit and regulatory requirements and/or findings in a timely manner.
Work effectively with internal and external partners of TBSM, including Front Office, the Investments Team, the Market Risk Measurement and Reporting Team, the Treasury Analytics Group, and the Model Validation and Management Team, to ensure the soundness and accuracy of the model development and implementation