Senior Analyst, Treasury Modelling

The Work!

Develop efficient processes for quantitative models (30%) 

• Build programmed solutions and processes based on requirements from the Treasury and Capital Markets team. 

• Automate existing spreadsheet-based analysis and to replicate results from other platforms.  

• Efforts will focus on funds transfer pricing models/ margin reporting, hedge accounting report, duration calculation, liquidity matching, stress testing, liquidity regulatory reporting etc.  

• The incumbent will ensure all processes are documented as per the Bank documentation standards. 

 

Develop complex behavioural models (30%) 

• The position supports and provides analytical support to Treasury team members (Liquidity, IRR, etc.) with (customer) behavioral analysis of various asset and liability products. 

• Review existing behavioural analysis and enhance analysis where beneficial (i.e. initial focus is most highly sensitive assumptions). Streamline analysis processes.  

• Develop new behavioural analysis as required. Requires the review of existing data and expanding where needed. Requires understanding of result sensitivity to assumptions and of drivers of customer behaviour.  

• Document all analysis methods and present analysis for approval by Senior Management (i.e. ALCO). Integrate assumptions into IRR/liquidity modeling.  

• Platform expected to be used are SQL and Python.  

 

Departmental Analytics Support (20%) 

• Support other Treasury, Finance and corporate requests. This includes the following:

• Support Treasury function with additional development. Provide reports for ALCO and ERM meetings. This includes liquidity or interest rate analysis as required (product volume, yields, spreads, option costs). 

• Support accounting, capital markets and investor relation functions with required analysis and reporting. 

• Provide support as a subject matter expert on programing / coding.  

 

Ensure Compliance to Model Governance (20%) 

• Ensure all models, processes, and associated controls are documented. 

• Assist in Model Validation process for new and existing models. 

• Perform regular performance monitoring as per model requirements 

Your Experience!

• Undergraduate degree with a focus on math and/or computer science.  

• 3 to 5 years of experience in financial model programming. 

• Strong programming experience and database management knowledge using SQL and Python are needed. 

• Strong skills in problem solving, logical thinking, process building and analytics. 

• Awareness of machine learning (including deep learning) and underlying models (LSTM, convolution, deep and shallow layers) 

• Keen interest in financial markets and financial engineering, strong desire and ability to learn new financial concepts.  

• Demonstrated understanding in fixed-income financial concepts (i.e. bonds, mortgages, derivatives and yield curves) is an asset.  

• Knowledge of Liquidity risk, Interest rate risk and hedge accounting will be helpful. 

• Ability to collaborate with various functional support groups. 

• Excellent interpersonal and communication skills both written and verbal. 

• Ability to pay attention to details. 

• Possess good business acumen.