JOB DESCRIPTION:

The Model Development (MD) group is part of the Market Risk and Model Development group within Risk Management at TD Bank. It is responsible for methodology development related to market risk, credit risk and operational risk in both retail and non-retail (Wholesale and Commercial) business. These methodologies cover the areas of Basel III credit parameters (PD, LGD, UGD), regulatory & economic capital for AIRB credit risk, general allowances, Value at Risk (VaR), Counterparty Credit, AMA and Risk Ratings. MD is responsible for developing mathematical methodologies, building software prototypes, and working closely with other functions throughout the bank to implement system solutions.
The individual will be responsible for developing and maintaining TD’s expected credit loss methodology for Non-Retail lending portfolio in accordance with the new IASB IFRS 9 impairment standard. This position provides excellent learning, working and career opportunities in a highly professional and motivated team environment, and exposure to high-paced and impactful modeling projects and to a wide variety of internal and external stakeholders.

JOB REQUIREMENTS:

• Graduate degree in quantitative discipline preferred (Mathematics, Statistics, Econometrics, Physics, etc.)
• Proficiency in at least one of the following programming languages - Python, SAS and R.
• Excellent written and verbal communication skills to ensure effective communication with stakeholders across a wide variety of functions is required
• 2+ years of relevant working experience in quantitative modeling. Experience in financial services building IFRS9, ARIB or similar models is preferred.
• In-depth knowledge of lending portfolios and credit risk modeling including credit risk parameters estimation (PD, LGD, EAD), stress testing methodologies, BASEI III Capital framework, CreditMetrics framework and Moody’s Analytics|KMV Risk Frontier preferred
• Strong data analysis and problem-solving skills
• Flexibility to adapt to rapidly changing requirements
• Be able to engage directly with senior executive stakeholders and technology vendors
• Profession certifications (e.g., CFA, FRM) are a plus

WHO WE ARE:

TD is one of the world’s leading global financial institutions and is the fifth largest bank in North America by branches/stores. Every day, we deliver legendary customer experiences to over 27 million households and businesses in Canada, the United States and around the world. More than 95,000 TD colleagues bring their skills, talent, and creativity to the Bank, those we serve, and the economies we support. We are guided by our vision to Be the Better Bank and our purpose to enrich the lives of our customers, communities and colleagues.
TD is deeply committed to being a leader in customer experience, that is why we believe that all colleagues, no matter where they work, are customer facing. As we build our business and deliver on our strategy, we are innovating to enhance the customer experience and build capabilities to shape the future of banking. Whether you’ve got years of banking experience or are just starting your career in financial services, we can help you realize your potential. Through regular leadership and development conversations to mentorship and training programs, we’re here to support you towards your goals. As an organization, we keep growing – and so will you.

• Develop forward-looking credit risk models under IFRS 9 framework with mathematical and statistical methodologies. Improve existing approach and develop new model components as needed
• Work with team members on Stress Testing exercise including internal Enterprise Wide Stress Testing (EWST) and external program such as OSFI MST
• Perform testing and analysis for IFRS 9 and stress testing models and develop related analysis tools
• Produce and maintain well-articulated documentation on the above
• Ensure compliance with the TD’s Model Risk Policy & relevant Data Governance requirements
• Monitor risk profile changes, identify key drivers and write reports for management review
• Maintain and contribute to the enhancement of the current models. Develop credit risk models for new business lines as required
• Work closely with model vetting/management, Credit Risk Management, Chief Accountants, other risk functions, internal and external auditors, regulators for risk model reviews and other requests