Job Description

Summary of day-to-day responsibilities:

• The Treasury and Balance Sheet Management (TBSM) department of client manages client's non-trading market risk, liquidity risk, capital, investment portfolios, wholesale funding programs, pension plans, and transfer prices funds to the businesses. The Treasury Modelling and Stress Testing team in Corporate Transformation & Operations (CTO) is responsible for ensuring appropriate quantitative methodologies and estimation approaches are in place to support Treasury and Balance Sheet Management as well as to advance the use of enhanced models and data-driven analytics to support the allocation of scarce financial resources (capital, liquidity, and funding) and improve decision making. Within the Treasury Modelling team, the Modeling Analytics and Development group supports the valuation and hedging of various bank products and option exposures in the Banking Book.
• The position reports to Senior Manager, Treasury Modelling team group within CTO. Detailed accountabilities include:

o Provide quantitative model support to business as usual and strategic Treasury Balance Sheet Management projects and initiatives such as new product launches, integrated Treasury stress testing and scenario analysis tools, the new Asset Liability Management system (Canoe), regulatory requirements for non-trading market risk measuring and management (IRRBB), new market driven initiatives (BRR/IBOR/CDOR replacement) and interest-rate hedging strategies, Hedge Accouting and funds transfer pricing.
o 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 under a multi-curve environment.
o Research industry best practice, address model validation, audit and regulatory requirements and/or findings in a timely manner.
o Support the development of desktop tools for TBSM Front Office and internal TBSM partners to support their trading, portfolio management and interest rate hedging activities.
o The position must 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.

Must have:

• Experience in quantitative analysis / financial engineering.
• Knowledge of financial markets as well as fixed income portfolio management, hedging techniques and valuation models.
• Experience in model development or validation with a solid knowledge of stochastic processes
• Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development
• High level of self-motivation

Nice To Have:

• Solid skills in C++/C#,
• Python and VBA programming
• Microsoft Office tools (Excel, Word, Powerpoint)
• Experience in treasury
• Fixed income and asset backed securities modelling an asset.

Job Details

9592

Contract

1 year

Toronto