Modelling / Forecasting Senior Analyst (Quants)

TD•Toronto, ON

4d•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 transfer prices funds to the businesses. The Treasury Modelling in TBSM is responsible for ensuring appropriate quantitative methodologies and estimation approaches are in place to support Treasury and Balance Sheet Management as well as to advance the use of enhanced models and data-driven analytics to support the allocation of scarce financial resources (capital, liquidity, and funding) and improve decision making. Within the Treasury Modelling team, the Modeling Analytics and Development group supports the valuation and hedging of various bank products and option exposures in the Banking Book.

Requirements

Strong quantitative skills with a graduate degree in one or more of the following areas: statistics, economics, and mathematics, with at least 1-2 years of experience in quantitative analysis / financial engineering.
Knowledge of financial markets as well as fixed income portfolio management and hedging techniques and valuation models.
Experience in model development or validation with an advanced knowledge of stochastic processes and fixed income and asset backed securities modelling an asset.
Solid skills in C++/C#, VBA programming and Microsoft Office tools (Excel, Word, Powerpoint)
Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development

Responsibilities

Develop rapid prototype for quantitative valuation/risk models for measuring and hedging the interest rate risk of retail, commercial and structured finance products in the Banking book.
Perform advanced portfolio analysis to understand the risk drivers and model performance for various downstream use cases.
Support and maintain the Canoe Aggregator models used by TBSM for Asset Liability Management purposes, including its change management, finding closures, ongoing performance monitoring and methodology document update.
Research industry best practices for measuring and hedging the Interest Rate Risk in the Banking Book (IRRBB) and address model validation, audit and regulatory requirements and/or findings in a timely manner. Good understanding of best practice in model governance, implementation standards, system change control process.
The position must work effectively with internal and external partners of TBSM, including Fund Transfer Pricing, 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.