Modelling / Forecasting Senior Analyst (Quants) 3625

Work Location:
Toronto, Ontario, Canada

Hours:
37.5

Line of Business:
Analytics, Insights, & Artificial Intelligence

Pay Details:
$76,800 - $115,200 CAD

TD is committed to providing fair and equitable compensation opportunities to all colleagues. Growth opportunities and skill development are defining features of the colleague experience at TD. Our compensation policies and practices have been designed to allow colleagues to progress through the salary range over time as they progress in their role. The base pay actually offered may vary based upon the candidate's skills and experience, job-related knowledge, geographic location, and other specific business and organizational needs.

As a candidate, you are encouraged to ask compensation related questions and have an open dialogue with your recruiter who can provide you more specific details for this role.

Job Description:

Department Description:

TD Model Validation (MV) group is responsible for the independent validation and approval of analytical models used for risk, pricing, hedging, and capital evaluation for portfolio of financial products. This also includes validation of decision-making models.

Job Description:

The successful candidate will be a member of the TBSM MV group covering both quantitative and qualitative models designed for TBSM Liquidity Risk Management (LRM) in Canada and U.S. jurisdictions. The position reports to Senior Manager, Advanced Analytics - Liquidity Risk Management Model Validation.

Detailed accountabilities include:

• Support independent validation of TBSM Liquidity Risk Management (LRM) models developed or owned by TD Treasury and Balance Sheet Management (TBSM) group.
• Develop and execute a comprehensive validation testing plan to validate different LRM models, according to the enterprise model validation procedures

• Review US LRM's assessment of the measurement choices / definition and liquidity assumptions or business assumptions / decisions adopted by LRM model and Business Requirement Document (BRD) for model implementation to assess the consistency between BRD and US LRM approved approach.
• Assess soundness of statistical / mathematic algorithm and choices of upstream valuation & cash flow generation models or customer behavior models according to US LRM approved LRM reporting methodology including assumptions.
• Assess the data quality and input control / governance process to ensure the acceptance of the model inputs.
• Conduct validation testing by incorporating comprehensive test cases to assess model implementation accuracy from data enrichment process to the final model outputs and model performance
• Assess the adequacy of model governance and control
• Develop a comprehensive issue log for questions / limitations identified during the validation process and effectively communicate with various stakeholders from 1st line with issue severity for appropriate resolution during the validation process.
• Draft high quality model validation reports with adequate information and justification to support validation conclusions and Audit / regulator review / assessment of validation process and validation analysis.

• Advanced quantitative skills with post-secondary degree in one or more of the following areas: Statistics, Economics / Econometrics, Mathematics, Finance, Financial Engineering, and Financial Risk Management.
• CFA / FRM charter holder or candidate preferred. Qualification data risk management or operational risk management field is an asset.
• 1-3 years of work experience in model development or model validation in Risk Management. Work experience in Liquidity Risk Management is an asset.
• Strong technical knowledge and proficiency in programing languages, such as Python, SQL, SAS, and VBA. Familiarity with JSON and Scala is an asset.
• Hands-on experience in developing and implementing statistical forecasting models (e.g., time-series model).
• Solid knowledge in financial products / portfolios regarding cash flow patterns, key factors impacting cash flows, and their pricing / valuation approach. Knowledge in financial / regulatory reporting in liquidity risk management is a plus.
• Work experience in business system analytics roles or in either developing or validating large banking treasury reporting system is an asset.
• Familiarity with data pipeline process, banking data infrastructure, and data control & governance is an asset.
• Strong writing skills, especially technical writing, as well as excellent verbal communication skills are must-haves.
• Inquisitive nature and ability to ask the right questions and escalate issues; and risk & Control mindset with good business acumen is an asset.
• Strong analytical and problem-solving skills. High attention to details.
• Good time management and multitasking skills with minimal supervision.