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Quantitative Risk Analyst - Model Validation / Treasury

Quantitative Risk Analyst - Model Validation / Treasury

BeachHeadToronto, ON, Canada
3 days ago
Job type
  • Full-time
Job description

Working with one of the top financial clients this role calls for a Quantitative Risk Analyst - Model Validation / Treasury who will work on Quantitative Risk Management (QRM, as Vendor) model development report (MDR) documentation, testing, and model submission. This candidate will work closely with the Model Validation (MV) team to get models validated and approved.

Responsibilities :

  • Work with various stakeholders, such as Vendor, Technology and Treasury Business to integrate QRM for the Bank's Asset Liability Management and Funder Transfer Pricing solutions.
  • 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.
  • Address model validation, internal / external audit and regulatory requirements and / or findings promptly.
  • 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.

Desired Skill Set :

  • 5 years of experience with Model Development / Model Validation function(s)
  • Working experience in financial markets & fixed income portfolio mgt. techniques & valuation models
  • Experience working as a Risk analyst in Market Risk
  • Experience with Technical writing
  • Experience using coding languages such as C++ / C#, Python, R, and VBA programming
  • Nice To Have :

  • 5 years of strong exposure to the Treasury
  • Working knowledge of QRM
  • BeachHead is an equal opportunity agency and employer. We advocate for you and welcome anyone regardless of race, color, religion, national origin, sex, physical or mental disability, or age.

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