Int Quantitative analyst to provide quantitative model support to business as usual and strategic Treasury Balance Sheet Management projects and initiatives for a large financial organization -48386

Details

# of positions: 1
Start Date: ASAP
Duration: 1 year
Extension possible: yes
Conversion Possible: yes
Interview Process: aiming for 1 round, Webex
Work Location (Remote, Hybrid or Both?):Wellington Street West hybrid 1-2 days per week in office





CANDIDATE PROFILE DETAILS:
Degree/Certifications Required: graduate degree in one or more of the following areas: statistics, economics, and mathematics highly preferred
Years of experience: 2-4
Reason for request/why opened: new project
% Interaction with Stakeholders: 100% internal
Project Scope:  Interest Rate Risk for Banking Book and hedge accounting
Team Size: 15
Personality Style/Team Culture: collaborative, friendly

Selling Points of Position: great chance to know treasury modelling and financial product, very unique
How will performance be measured: verbal feedback


SUMMARY OF DAY TO DAY RESPONSIBILITIES:

The position reports to Senior Manager, Treasury Modelling team group within CTO. Detailed accountabilities include:

• 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.
• 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.
• Research industry best practice, address model validation, audit and regulatory requirements and/or findings in a timely manner.
• 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.
• 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:

• 2 Years *experience in quantitative analysis / financial engineering.
• Knowledge of financial markets as well as fixed income portfolio management, hedging techniques and valuation models.
• 2 Years *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 developmen
• High level of self-motivation
• Masters in maths, finance, financial engineering or any other quantitative area relating to finance

NICE TO HAVE

1. Solid skills in C++/C#,
2. Python and VBA programming
3. Microsoft Office tools (Excel, Word, Powerpoint)
4. Experience in treasury
5. fixed income and asset backed securities modelling an asset.