Job Description

TD Description
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Department Overview
The Capital Markets Risk Management (CMRM) area is part of the TD Bank Corporate Risk Management function. Our teams are accountable for the generation and monitoring of an independent view of the Profit and Loss, Market Risk, Counterparty Credit Risk, xVA, Collateral and Valuation activities of The Bank\xe2\x80\x99s global trading activities. We support wholesale business initiatives, inform an array of risk management decisions and facilitate business through managing evolving front office needs, while ensuring appropriate capture and control of risk.

Within CMRM, the xVA team is responsible for a number of activities related to the quantitative analysis of valuation adjustment, simulated exposure & credit curves and policy implementations. The xVA team oversees the implementation of new simulation models and analysis of the key measures used by The Bank to monitor and control xVA. We further provide support to the front office\xe2\x80\x99s ongoing xVA related queries. This includes \xe2\x80\x9cwhat if\xe2\x80\x9d analysis on potential trades, sensitivity, curve & exposure movement and identification of xVA optimization opportunities.

Reporting to the Manager, xVA, the Analyst\xe2\x80\x99s accountabilities include:

• Work closely with the Trading desk, MRC, Finance, Project and Technology, providing expert knowledge and support to simulated exposure, credit spread & xVA analysis and system implementation.
• Gain a deep understanding in the pricing and simulation of OTC derivatives, credit curve construction methodology and related controls and ultimately the xVA methodology.
• Assist with reviewing and attributing daily movement of various valuation adjustments including PC-MS adjustment, various xVA measures and investigate any anomalies.
• Assist with performing month-end xVA & PC-MS reporting and enhance data integrity by conducting various controls and attributing movement within tight deadline.
• Identify and investigate trade discard and warning messages on unexpected, incomplete or inconsistent data on netting, counterparty, CSA etc.
• Help with MTM reconciliation investigation between source system and the xVA system by identifying root cause of MTM difference and raising to the corresponding stakeholders in case of issues.
• Develop a sound understanding in the xVA system workflow and explore how the data in various reports are generated and consumed by the system at different stages to ultimately generate xVA related metrics and views.
• Seek for process enhancement and automation and any other opportunities of process improvement and help with procedure writeup and revision.
• Maintain an understanding of regulatory landscape related to risk reporting and xVA.
• Provide ad-hoc data mining and risk reporting when required in support of internal or external requests.
• Maintain thorough understanding of all key risk and risk-related issues through continual review of risk reports/related data and dialogue with relevant parties.
• Provide assistance to Technology Solutions in model implementation.
• Continuous enhancements of the methodologies implemented in TDBFG risk.

Job Requirements

• Previous work experience primarily focusing on OTC derivatives is appreciated.
• Working knowledge in the valuation of OTC derivatives.
• Experience with producing reports, attributing PnL and identifying and investigating issues is an asset.
• Experience with working with a complicated system is an asset.
• Degree specializing in finance, risk management, or other quantitative discipline.
• CFA or FRM candidates preferred.
• Knowledge in and experience with Python preferred.
• Self-motivated and willing to take ownership and accountability with a positive attitude.
• Ability to prioritize multiple tasks and deliver results in a fast-paced environment.

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.
Job Family
General
Job Category - Primary
Risk Management
Job Category(s)
Risk Management
Hours
37.5
Business Line
Corporate
Time Type
Full Time
Employment Type
Regular
Country
Canada
**Province/State (Primary)
Ontario
City (Primary)
Toronto
Work Location
TD Centre - TD Tower - 66 Wellington Street West
Job Expires
05-Feb-2023