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Int. Treasury Analyst toprovide quantitative model support to business as usual and strategic Treasury Balance Sheet Management projects for a large financial bank - 46778

Job Type: Contract
Positions to fill: 1
Start Date: Sep 26, 2022
Job End Date: Sep 18, 2023
Pay Rate: Hourly: Negotiable
Job ID: 123344
Location: Toronto
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Job ID:  46778
# of positions: 1
Duration: 1 year, extension and conversion possible 
Interview Process: aiming for 1 round, Webex
Work Location: hybrid 1-2 days per week in office, Toronto



Description:

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:
  • Experience in quantitative analysis / financial engineering.
  • Knowledge of financial markets as well as fixed income portfolio management, hedging techniques and valuation models. 
  • Experience in model development or validation with a solid knowledge of stochastic processes

NICE TO HAVE
  • Solid skills in C++/C#,
  • Python and VBA programming
  • Microsoft Office tools (Excel, Word, Powerpoint)
  • Experience in treasury