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Manager, Advanced Analytics (Quants)

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TD Bank

Oct 12

  • Job
    Full-time
    Senior Level
  • Data
    Banking & Finance
  • Toronto
  • Quick Apply

AI generated summary

  • You need 5+ years in model development/validation, strong quantitative skills, knowledge in pricing theory, stats, and programming (Python, C/C++, VBA), plus a graduate degree in a quantitative field.
  • You will validate derivative pricing and risk models, prepare reports, develop methodologies, collaborate with internal teams, and manage junior staff while ensuring compliance with industry standards.

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 Python, C/C++ and VBA is required.
  • Industry experience (at least 5 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.
  • Graduate degree in a quantitative discipline MSc, MMF or PhD.

Responsibilities

  • 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.
  • Prepare corresponding initial/ongoing validation reports outlining model assumptions, analytical methodologies and assessments, computational methods and test results.
  • 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.
  • 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.
  • 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.
  • The position also includes management of junior staff.

FAQs

What is the location of the job?

The job is located in Canada.

How many hours does this position require per week?

This position requires 37.5 hours per week.

What department will I be working in?

You will be working in the Analytics, Insights, & Artificial Intelligence department.

What is the primary responsibility of the Model Validation group?

The Model Validation group is responsible for the independent validation and approval of analytical models used for pricing, hedging, and risk and capital evaluation of financial products.

What specific models will I be validating in this role?

You will be validating Derivative Pricing/Counterparty Credit Risk (CCR)/Market Risk and Algo models across TD's global trading business, including various derivatives.

What qualifications are required for this position?

A graduate degree in a quantitative discipline (MSc, MMF, or PhD) and at least 5 years of industry experience in model development or validation are required.

Which programming languages should I be proficient in?

Proficiency in Python, C/C++, and VBA is required.

Is experience in quantitative analysis necessary for this job?

Yes, excellent quantitative skills with a background in mathematics, physics, engineering, computational finance, or statistics are necessary.

Will I be managing any staff in this role?

Yes, this position includes the management of junior staff.

What training or development opportunities does TD offer?

TD offers training and onboarding sessions, regular development conversations, access to an online learning platform, and various mentoring programs.

How does TD handle compensation discussions?

Candidates are encouraged to have an open dialogue with a member of the HR Team regarding compensation-related questions, including pay details for the role.

Is there a support system for employees requiring accommodations during the interview process?

Yes, TD is committed to accessibility and encourages candidates to request accommodations if needed during the interview process.

Finance
Industry
10,001+
Employees

Mission & Purpose

Headquartered in Toronto, Canada, the Toronto-Dominion Bank and its subsidiaries are collectively known as TD Bank Group (TD). TD had CDN$1.9 trillion in assets on July 31, 2023. TD also ranks among the world’s leading online financial services firms, with more than 16 million active online and mobile customers. TD offers a full range of financial products and services to over 27.5 million customers worldwide through four key business lines: - Canadian Personal and Commercial Banking including TD Canada Trust, Business Banking, and MBNA - U.S. Retail including TD Bank, America’s Most Convenient Bank, TD Auto Finance (U.S.), TD Wealth (U.S.) and TD’s investment in Schwab - Wealth Management & Insurance including TD Wealth (Canada), TD Direct Investing, and TD Insurance - Wholesale Banking including TD Securities and TD Cowen