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The Treasury and Balance Sheet Management (TBSM) department of TD Bank manages TD'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. Job Description
The position reports to Senior Manager, Treasury Modelling team group within TBSM. Detailed accountabilities include:
- Develop and enhance the valuation models and risk methodology for complex retail products with embedded prepayment options, e.g., US mortgages and Structured Finance Products, e.g., MBS and CLOs, for various downstream usages including Non-Trading Market Risk Management, PnL Attribution, Fund Transfer Pricing, Hedging Accounting, Liquidity Management and CCAR Stress Testing purposes etc.
- Develop methodology and oversee modeling deliverables for key Treasury Balance Sheet Management projects and initiatives such as BSMA, Project Renovate, Benchmark Rate Reform etc.
- Perform advanced portfolio analysis to understand the risk drivers and model performance for various downstream use cases above;
- Research industry best practices for measuring and hedging the Interest Rate Risk in the Banking Book (IRRBB) and address model validation, audit and regulatory requirements and/or findings in a timely manner. Good understanding of best practice in model governance, implementation standards, system change control process.
- The position must work effectively with First Line of Business Sponsors, Model Owners and Model Users and Second line Partners of Defence such as Model Validation (MV) and Enterprise Model Risk Control (EMRC) to ensure the soundness and accuracy of the model development and implementation.
- Strong quantitative skills with a graduate degree in one or more of the following areas: statistics, economics, and mathematics, with at least 5 of experience in quantitative analysis / financial engineering.
- Knowledge of financial markets as well as fixed income portfolio management and hedging techniques and valuation models.
- Experience in model development or validation with an advanced knowledge of stochastic processes and fixed income and asset backed securities modelling an asset.
- Solid skills in C++/C#, VBA programming and Microsoft Office tools (Excel, Word, PowerPoint)
- Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development
- High level of self-motivation
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.