Senior Quantitative Analyst

Job Description

The Model Validation (MV) group is a centralized model risk management function within the Bank. It has seen fast growth in the past few years reflecting global regulators’ increasing attention on model risk. The Retail model validation team within MV is responsible for the vetting and approval of complex mathematical and statistical models used to measure the risk exposure inherent in retail and trading products, as well as to review, validate and approve models used for the calculation of risk capital for these businesses. By ensuring an objective and independent evaluation of models, the model validation function is critical to the effective measurement and management of risk across the TD Bank Group.

Responsibilities

• Perform validation of all models deemed in-scope by the bank-wide Model Risk Policy. These models are used in the Bank for projecting RWA capital (PD / LGD / EAD), Pre-Provision Net Revenue (PPNR) estimates for stress testing (DFAST, EWST) purposes, adjudication / management / collection for various retail products, marketing and analytics, etc.
• Develop independent benchmarks for use in the validation of the above listed models. These benchmark models could be supervised learning, unsupervised learning and deep learning algorithms. Assess the appropriateness of the model for its specific use, reasonableness of the model assumptions and the accuracy of the model implementation.
• Prepare detailed reports describing the mathematical analytics of the model, validation techniques employed, test results obtained, and any model limitations noted.
• Prepare Management summaries highlighting the outcome of the validation process for each model and outlining recommendations for approval or further improvements.
• Establish and maintain productive working relations with internal model development groups such as US and CAD Retail Model Development, Financial Stress Testing (FST), etc., as well as external vendors who have developed customized models for TD.
• Play a key role in ensuring the appropriate use of risk models. Identify the need to implement new models / techniques for risk management as industry standards evolve and regulatory requirements change.
• Stay current in knowledge of credit risk management methodologies, predictive modeling and statistical analysis.

Requirements & Qualifications

Compensation & Benefits

Work Location : Toronto, Ontario, Canada

Hours : 37.5

Line Of Business : Analytics, Insights, & Artificial Intelligence

Pay Range : 76,800 - 115,200 CAD

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