Modelling / Forecasting Senior Analyst (Quants)

TD•Toronto, ON

1d•Onsite

About The Position

The Trading Risk Model Development group within Model Development is responsible for the development, maintenance and calibration of various Market Risk and Counterparty Credit Risk models. We interact with various stakeholders in the bank, including Technology, Market Risk, Product Control, Model Validation (MV), and TD Securities (TDS) to achieve our mandate. The Model Control Team within Trading Risk Model Development is responsible for model implementation testing, control function, and quantitative support for TDS Valuation and Market Risk models. This Senior Analyst role within the Model Control team will help carry out model implementation testing, system release reviews, model governance support, and ad-hoc quantitative support for various business lines within TD Securities and Market Risk. Model implementation testing and system release review is a key control to ensure the models that are approved by Model Validation are implemented correctly in the TD production front-office and back-office risk management systems. The position will work closely with TDS Change Delivery team, Technology, Front Office Quant teams, Model Development teams, Model Validation (MV/MRM), Market Risk, Product Control, and related Line of Business Risk Management teams.

Requirements

At least 1 year of experience related to model development, model validation, or model implementation for pricing models, market risk, or counterparty credit risk for financial derivatives and other products in the bank's trading portfolios.
Strong knowledge and understanding of financial derivatives and statistical modelling approaches for various asset classes (e.g. Rates, Credit, FX, Commodities, Equities, etc.).
Strong knowledge and hands-on experience using a common industry used programming language (e.g. VBA, Python, C++) in the context of data and statistical analysis.
Solid understanding of fundamental concepts and techniques in quantitative finance and financial models.
Solid communication and interpersonal skills to build and maintain productive working relationships with various business partners across the Bank and on different levels of organization.
Solid organizational skills to identify and track project status & blockers, ensure proper resolution of outstanding items, document meeting minutes and takeaways in a clear and concise manner.

Nice To Haves

Experience in conducting user acceptance testing (UAT) including designing test strategy, test plan, and detailed test cases is an asset.
Postgraduate degree would be an asset.
Industry certification (e.g. CFA, CSC, FRM) is also considered an asset

Responsibilities

Create, maintain, and execute model implementation testing requirements and test strategies for pricing models used for TD Securities' trading portfolios (e.g. foreign exchange, commodities, interest rate, bonds, etc.), and integration with related input models (e.g. curves) and downstream market risk models (e.g. VaR, FRTB, Counterparty Credit Risk).
Conduct quantitative analyses, investigation, and report issues that meet testing objectives within a timely and accurate manner.
Provide quantitative support to model user stakeholders (e.g. Market Risk, Product Control) during the end-to-end testing phases in UAT/Pre-Production system environments.
Provide timely updates on project test execution and status, blockers and findings to team management and various stakeholders.
Identify and escalate issues to the appropriate individual(s)/group(s) to ensure prompt attention and resolution.
Well-organized, great at team building, and maintaining stakeholder relationships.
Staying energized, productive and focused in the face of challenges, ambiguity, change or strenuous demands.
Build trust with stakeholder groups and maintain good working relationships with other departments.
Part of an effective and diverse team to effectively deliver productivity, quality and innovation