Quantitative Analyst/Treasury

  • Date Posted Jan 13, 2023
  • Location Toronto, ON
  • Job Type Contract
  • Job ID 15518

If you are a self-confident, self-motivated person with a strong work ethic and excellent communication skills and you enjoy a fast-paced team-driven environment, contact us today!

Working with one of the top financial clients this role calls for a Quantitative Analyst/Treasury who will provide quantitative model support to the 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) etc.

Responsibilities:

  • 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 practices, and 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.
  • Work effectively with internal and external partners of TBSM, including the 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:

  • 2 years of proven experience in quantitative analysis or financial engineering
  • 2 years of solid experience in model development or validation with a solid knowledge of stochastic processes
  • Strong knowledge of financial markets, fixed-income portfolio management, and hedging techniques
  • Excellent analytical and communication skills and a demonstrated track record of creative problem solving
  • Master’s degree in a Quantitative Discipline e.g. Math/Stats, Actuarial Science and Computer Science
  • High level of self-motivation

Nice To Have:

  • 2 years of exposure to Fixed income and asset-backed securities modelling
  • 2 years of hands-on experience with Python and VBA
  • Expertise in Treasury
  • Proficiency with Intermediate MS Office: Outlook, Word and Excel
  • Solid skills in C++/C#

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