Provide quantitative modelling support for TD Bank's Treasury Applied Research team. Develop and validate quantitative models to manage market risk and improve decision-making.
Responsibilities
Provide quantitative modelling support to TBSM Business As Usual (BAU) activities, strategic TBSM projects/initiatives, Treasury stress testing (DFAST/EWST/MST), and Hedging Accounting, etc.
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.
Work on MDR/AMR/OMR model submission to meet TD's internal model risk management requirement.
Address model validation, internal/external audit and regulatory requirements and/or findings in a timely manner.
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.
Requirements
Experience in Model Development and/or Model Validation is desirable.
Experience in fixed income, structured product, market risk related area is a plus.
Experience in QRM, INTEX, and other financial vendor platforms is a plus.
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, and 1-3 years of experience in quantitative analysis / financial engineering is ideal.
Experience using coding languages such as C++/C#, Python, R, VBA programming is a plus.
Strong analytical & communication skills and demonstrated track record of creative problem solving & solution development.
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