14 Oct
The Toronto-Dominion Bank (Canada)
Toronto
Manager, Advanced Analytics (Quants)
Work Location: Canada
Hours: 37.5
Line of Business: Analytics, Insights, & Artificial Intelligence
Pay Details: We’re committed to providing fair and equitable compensation to all our colleagues. As a candidate, we encourage you to have an open dialogue with a member of our HR Team and ask compensation related questions, including pay details for this role.
Job Description:
Department Overview
The Model Validation (MV) group is responsible for the independent validation and approval of analytical models used for pricing, hedging and risk and capital evaluation of financial products and portfolios of financial products. This also includes validation of decision-making models,
such as credit approval and behavioral scoring models for the Bank’s Retail portfolio.
Detailed accountabilities include:
1. Perform independent initial and ongoing validations of Derivative Pricing/Counterparty Credit Risk (CCR)/Market Risk and Algo models across TD's global trading business, including Interest Rate, Fixed-Income, Equity, FX, Credit and Commodity derivatives.
2. Prepare corresponding initial/ongoing validation reports outlining model assumptions, analytical methodologies and assessments, computational methods and test results.
3. Develop/implement validation methodologies and standards. Ensure that the validation methodologies and standards are in line with industry best practice or address regulatory and audit requirements and/or findings in a timely manner.
4. Maintain full professional knowledge of techniques and developments in the field of derivative pricing, Fixed-Income modeling for the Trading Book and potentially Counterparty Credit Risk/CVA/FVA/XVA, Market Risk VaR (FRTB),
and share knowledge with business partners and senior management.
5. The position involves working 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.
6. The position also includes management of junior staff.
Job Requirements
1. 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.
2.
Proficient in relevant programming languages such as Python, C/C++ and VBA is required.
3. Industry experience (at least 5 years of experience) in model development or validation within a similar role is required.
4. Excellent ability to write comprehensive technical documents is required.
5. Excellent quantitative skills with background in one of the following areas: mathematics, physics, engineering, computational finance, statistics.
6. Fast learner who grasps complex concepts and techniques quickly and works independently under tight deadlines.
7. Good time management skills with minimal supervision.
Education: Graduate degree in a quantitative discipline MSc, MMF or PhD.
Who We Are:
TD is one of the world's leading global financial institutions and is the fifth largest bank in North America by branches/stores. Every day, we deliver legendary customer experiences to over 27 million households and businesses in Canada, the United States and around the world. More than 95,000 TD colleagues bring their skills, talent, and creativity to the Bank, those we serve, and the economies we support.
Our Total Rewards Package: Our Total Rewards package reflects the investments we make in our colleagues to help them and their families achieve their financial, physical, and mental well-being goals. Total Rewards at TD includes a base salary, variable compensation, and several other key plans such as health and well-being benefits, savings and retirement programs, paid time off, banking benefits and discounts, career development,
and reward and recognition programs.
Additional Information: We’re delighted that you’re considering building a career with TD. Through regular development conversations, training programs, and a competitive benefits plan, we’re committed to providing the support our colleagues need to thrive both at work and at home.
Interview Process: We’ll reach out to candidates of interest to schedule an interview. We do our best to communicate outcomes to all applicants by email or phone call.
Accommodation: Your accessibility is important to us. Please let us know if you’d like accommodations (including accessible meeting rooms,
captioning for virtual interviews, etc.) to help us remove barriers so that you can participate throughout the interview process.
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▶️ Manager, Advanced Analytics (Quants)
🖊️ The Toronto-Dominion Bank (Canada)
📍 Toronto