Modelling / Forecasting Senior Analyst (Quants)

Job title: Modelling / Forecasting Senior Analyst (Quants)

Job description: TD Description

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Department Overview

The Model Validation (MV) group is responsible for the independent validation and approval of analytical models used for pricing, hedging and risk and capital evaluation of financial products and portfolios of financial products. This also includes validation of decision making models, such as credit approval and behavioral scoring models for the Bank’s Retail portfolio.

Job Requirements

Job Requirement:

• Excellent knowledge of pricing theory, statistics, stochastic calculus and numerical techniques used in derivative pricing (PDE/trees, Monte Carlo simulation, optimization) as well as CCR/CVA modeling techniques and parameters calibration techniques.
• Proficient in relevant programming languages such as C/C++ and VBA is required.
• Industry experience (with at least 2-3 years of experience) in model development or validation within a similar role is required.
• Excellent ability to write comprehensive technical documents is required.
• Excellent quantitative skills with background in one of the following areas: mathematics, physics, engineering, computational finance, statistics.
• Fast learner who grasps complex concepts and techniques quickly and works independently under tight deadlines.
• Good time management skills with minimal supervision.

Education
Graduate degree in a quantitative discipline PhD, MMF, or MSc.

Skills Category
Analytical Skills
Computer skills
Effective Communication
Interpersonal Skills
Time Management

Hours

37.5

Job Description

The position reports to Sr. Manager within MV.

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, including Interest Rate, 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, 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.

Inclusiveness

At TD, we are committed to fostering an inclusive, accessible environment, where all employees and customers feel valued, respected and supported. We are dedicated to building a workforce that reflects the diversity of our customers and communities in which we live and serve. If you require an accommodation for the recruitment/interview process (including alternate formats of materials, or accessible meeting rooms or other accommodation), please let us know and we will work with you to meet your needs.

Additional Information

#LI-POST
#advancedanalytics
#quantitativeanalytics

Business Line

Corporate

Job Category – Primary

Enterprise Data & Analytics

Job Family

Advanced Analytics & Modelling

Time Type

Full Time

Employment Type

Regular

Company: TD

Expected salary:

Location: Toronto, ON

Job date: Sat, 18 Dec 2021 05:58:45 GMT

Job Source: Careerjet.ca

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