TD Model Validating Group is hiring 2 people, one Senior Quantitative Analyst, one Manager. If you are interested in the positions, please send your resume to hiring manager David. Please let him know you heard the news from Bay Street BBS. His email is: David.Giordano@tdsecurities.com
POSITION SUMMARY
The incumbent will be responsible for independently validating models, assessing the model risk and providing recommendations on improvements to reduce model risk. The incumbent will serve as a topic expert of fixed income and interest rate derivative models in the Model Validation Group, will lead the validation effort of term structure models and rates related product models
The incumbent will also support various initiatives of the group including new model-based systems (e.g., risk system), development of testing tools and model theory.
RESPONSIBILITIES
Model vetting:
Assesses models with respect to their current or planned use and determines the level of model risk associated with the model, its underlying data and systems.
Follows MVG Guidelines and Procedures in establishing vetting scope, assessing model appropriateness and verifying model accuracy
Prepares model validation reports that clearly document the recommended use for the model, all model dependencies and vulnerabilities and determines the level of model risk associated with the model
Assesses the existence and extent of model risk across portfolios and the enterprise
Identifies and analyses model issues and problems and effectively communicates all such, with appropriate recommendations to resolve, to senior management
Manages model projects under the direction of the Manager
Develops the project plan and executes
Provides regular plan status reports and where necessary, provides alternatives to keep project on target
Researches requirements and analyzes alternative solutions to provide recommended course of action
COMPLEXITY/VARIETY:
This position requires an individual with a firm foundation of investment finance processes, as well as excellent quantitative, research and analytical skills.
The incumbent must be able to deal with a variety of tasks simultaneously with appropriate prioritization, and to assess vetting scope, research product methodology, and acquire requisite technical/theoretical skills on the fly while conforming to tight project scheduling.
The incumbent will have to identify both opportunities/requirements and develop solutions/courses of action where there may be no precedent internally and little externally. The incumbent will interface with model developers, vetters, Operations, and IT up to the executive level, while understanding the separate requirements of each group.
Due to the non-recurring and analytical nature of activities, a high level of constructive thought will be necessary.
KNOWLEDGE and EXPERIENCE
PhD in finance or mathematics with at least two years of related work experience or Master's degree (e.g., MA, MSc) in a quantitative field (such as Mathematics, Physics, Computer Science, Engineering, etc.) with at least five years of related work experience in a major financial institution, hedge fund or pension plan.
Strong research ability as well as proven analytical thinking and problem solving ability.
Knowledge
Finance
A topic expert in term structure theory, multiple curve construction methodologies and practices, familiar with fixed income/interest derivatives and related valuation and risk models. Quantitative and product knowledge of cross assets is a plus.
Mathematics
Solid theoretical and practical knowledge of stochastic calculus, probability theory and statistics.
Proficiency in mathematical/statistical modeling.
Programming/IT
Proficiency in either Matlab, C++, or VBA;
Functional understanding of C#, proficiency in at least one object-oriented programming language;
Familiarity with databases and SQL
Communication/writing
Strong document/report writing skills;
The ability to discuss advanced technical subject matter with both technical and non-technical people;
Interfacing and working with diverse and different groups within a project
Experience In
Development of Fixed income /Interest rate derivative models and term structure models Cross asset valuation and risk models;
Programming;
Valuation or Risk Management practice