Director, Treasury, Finance, and Stress Testing Model Validation
HybridToronto, Ontario, Canada
Toronto, Ontario, CanadaHybridFull TimeSenior LevelLarge
Full TimeSenior LevelLarge
Job Summary
Plan, execute, and report model validations for Treasury methodologies covering asset liability management, interest rate risk, and liquidity risk. Develop validation strategies and testing procedures to assess model data quality, monitor performance, and evaluate the reasonability of assumptions. Conduct quantitative and qualitative analysis on enterprise-wide credit risk models, establish benchmarks, and articulate findings to key stakeholders. Manage project timelines while exercising judgment to advise the VP of MRM on model risk governance, policy development, and regulatory compliance under OSFI guidelines.
Required Qualifications
- Master's degree or higher in Math, Applied Math, Computer Science, Math Finance, Economics, or equivalent quantitative background
- 7+ years experience in Treasury risk model validation or model development in a financial institution, advanced in mathematical and statistical derivations, quantitative techniques and qualitative justifications, regulatory requirements and industry practices
- 3+ years experience in Enterprise-wide models such as ICAAP models and stress testing models
- Extensive understand model risk management principles and practices
- Extensive knowledge of related business and management processes
- Advanced programming skills in Python, SQL, MATLAB, Excel VBA with macro
- Previous experience in data analytics
- Excellent analytical skills and communication skills in both written and verbal format
- Excellent project management and time management skills
- Excellent technical documentation and report-writing skills
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