TD Bank Looking for Quantitative Analyst I at Toronto, ON Full Time

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• Validate the TBSM Aggregation models for IRRBB reporting (xFP metrics, EVE and NII), Liquidity Risk Management and Hedge Accounting (HA) reporting, covering the following activities:
  • • Assess conceptual soundness and appropriateness of significant model assumptions, in conjunction with sensitivity analysis results.
    • Assess accuracy and completeness of the model input data and adequacy of the data enrichment phase, including the existing data governance and controls.
    • Evaluate effectiveness of the testing performed by the model developer or technology as well as existing governance/control processes to ensure reliability of the model outputs.
    • Assess appropriateness of settings and mappings implemented in the aggregation model and evaluate complete coverage of all required portfolios.
    • Review the aggregation model design/structure and identify key components driving the model outputs.
    • Work with the lead model validator to establish a variety of benchmark and replication tests for each aggregation model for a comprehensive evaluation of the reliability of key model outputs and identification of any model limitations.
    • Prepare issue log during the validation and communicate the identified issues with the lead model validator in a timely manner.
    • Prepare high-quality model validation reports with sufficient description of the model design/methodology and validation tests performed to support the validation conclusion.
• Maintain/develop professional knowledge of techniques and developments in the field of IRRBB, Liquidity Risk, and Hedge Accounting, and share knowledge with business partners and senior management.

Work effectively with internal partners such as Enterprise Non-Trade Market Risk Control group (ENMRC), Enterprise Liquidity Risk team (ELR), Model Development Group (MD), Treasury & Balance Sheet Management Group (TBSM), and Internal Audit.

• Strong quantitative skills with post-secondary degree in one or more of the following areas: finance, financial engineering, statistics, economics, econometrics, mathematics with decent understanding of fixed income, options, futures and other derivatives as well as basic knowledge of financial reporting; an advanced degree in the relevant areas is an asset.
• Previous experience in model development or model validation in Balance Sheet Management, IRRBB, Liquidity Risk, xFP, or HA area is highly desired.
• Ability to learn quickly and transfer the theoretical understanding of fixed income, options, futures and other derivatives to actual applications on different financial products/portfolios on the Bank’s balance sheet.
• Strong analytical and problem-solving skills. High attention to details.
• Good knowledge of financial products/portfolios (mortgages, loans, deposits, and derivatives), cash flow patterns, products embedded optionality, and key factors impacting cash flows and pricing/valuation approaches is an asset.
• Proficient in programming languages such as SAS, SQL, MatLab, R, or Python. Familiarity with JSON is an asset.
• Have a collaborative mind-set with excellent verbal and written communication skills.
• Good time management and multitasking skills with minimal supervision and ability to appropriately prioritize work to support different initiatives

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.