Modelling / Forecasting Senior Analyst (Quants)

at  TD Bank

JOB DESCRIPTION:

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 Modelling Team (TMT) 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 Modelling Team, the Valuation Model Development group 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.

QUALIFICATIONS/COMPETENCIES

• Experience with QRM is highly desired.
• Experience in Model Validation and/or Model Development are preferred.
• Strong Technical writing skills, especially on financial model documentation.
• Strong quantitative skills with a graduate degree in one or more of the related areas such as mathematics, physics, computer science, statistics, with 3+ 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.
• Experience using coding languages such as C++/C#, Python, R, VBA programming.
• Strong analytical & communication skills and demonstrated track record of creative problem solving & solution development.
• High level of self-motivation

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.

The position reports to Senior Manager, Treasury Modelling team within TBSM. Detailed accountabilities include:

• Work on Quantitative Risk Management (QRM, as Vendor) model development report (MDR) documentation, testing, and model submission. Work closely with Model Validation (MV) team to get models validated and approved.
• Work with various stake holders, such as Vendor, Technology and Treasury Business to integrate QRM for Bank’s Asset Liability Management and Funder Transfer Pricing solutions.
• 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.
• Address model validation, internal/external audit and regulatory requirements and/or findings in a timely manner.
• The position must 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

The position reports to Senior Manager, Treasury Modelling team within TBSM. Detailed accountabilities include:

• Work on Quantitative Risk Management (QRM, as Vendor) model development report (MDR) documentation, testing, and model submission. Work closely with Model Validation (MV) team to get models validated and approved.
• Work with various stake holders, such as Vendor, Technology and Treasury Business to integrate QRM for Bank’s Asset Liability Management and Funder Transfer Pricing solutions.
• 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.
• Address model validation, internal/external audit and regulatory requirements and/or findings in a timely manner.
• The position must 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.