Senior Quantitative Analyst

1 day ago

Toronto, Ontario, Canada The Toronto-Dominion Bank (Canada) Full time
Job Description

The Toronto-Dominion Bank (Canada) is seeking a highly skilled and experienced Senior Quantitative Analyst to join our team. As a key member of our Model Validation team, you will be responsible for ensuring the accuracy and appropriateness of our derivative pricing models.

Key Responsibilities:
  • Perform independent initial and ongoing validations of Derivative Pricing/Counterparty Credit Risk (CCR)/Market Risk VaR models across TD's global trading business and TBSM Banking Book business.
  • Prepare corresponding initial/ongoing validation reports outlining model assumptions, analytical methodologies and assessments, computational methods and test results.
  • Develop/implement validation methodologies and standards to ensure they are in line with industry best practice or address regulatory and audit requirements and/or findings in a timely manner.
  • Maintain full professional knowledge of techniques and developments in the field of derivative pricing, Fixed-Income modeling for the Banking Book and potentially Counterparty Credit Risk/CVA/FVA/XVA, Market Risk VaR (FRTB), and share knowledge with business partners and senior management.
  • Work effectively with different internal partners such as Treasury and Balance Sheet Management (TBSM), Quantitative Engineering Group in TDS Front Office (FO), Model Development (MD) Group, and IT support teams for MD and FO to ensure the appropriateness and accuracy of models used by the bank.
Requirements:
  • Excellent knowledge of pricing theory, statistics, stochastic calculus and numerical techniques used in derivative pricing (PDE/trees, Monte Carlo simulation, optimization) as well as CCR/CVA modeling techniques and parameters calibration techniques.
  • Proficient in relevant programming languages such as C/C++ and VBA is required.
  • Industry experience (at least 2 years of experience) in model development or validation within a similar role is required.
  • Excellent ability to write comprehensive technical documents is required.
  • Excellent quantitative skills with background in one of the following areas: mathematics, physics, engineering, computational finance, statistics.
  • Fast learner who grasps complex concepts and techniques quickly and works independently under tight deadlines.
  • Good time management skills with minimal supervision.
Education and Skills:
  • Graduate degree in a quantitative discipline MSc, MMF or PhD.
  • Analytical Skills
  • Computer skills
  • Effective Communication
  • Interpersonal Skills
  • Time Management

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