Modelling / Forecasting Senior Analyst (Quants)

at  TD Bank

DETAILED ACCOUNTABILITIES INCLUDE:

• Perform independent initial and ongoing validations of Derivative Pricing/Counterparty Credit Risk (CCR)/Market Risk VaR models across TD’s global trading business and TBSM Banking Book business, including Interest Rate, Fixed-Income, Equity, FX, Credit and Commodity derivatives.
• Prepare corresponding initial/ongoing validation reports outlining model assumptions, analytical methodologies and assessments, computational methods and test results.
• Develop/implement validation methodologies and standards. Ensure that the validation methodologies and standards are in line with industry best practice or address regulatory and audit requirements and/or findings in a timely manner.
• Maintain full professional knowledge of techniques and developments in the field of derivative pricing, Fixed-Income modeling for the Banking Book and potentially Counterparty Credit Risk/CVA/FVA/XVA, Market Risk VaR (FRTB), and share knowledge with business partners and senior management.
• The position involves working effectively with different internal partners such as Treasury and Balance Sheet Management (TBSM), Quantitative Engineering Group in TDS Front Office (FO), Model Development (MD) Group, and IT support teams for MD and FO; to ensure the appropriateness and accuracy of models used by the bank.

EDUCATION AND SKILLS

• Graduate degree in a quantitative discipline MSc, MMF or PhD.
• Analytical Skills
• Computer skills
• Effective Communication
• Interpersonal Skills
• Time Management

Please refer the Job description for details