Modelling/Forecasting Specialist

388434BR
Enterprise Data & Analytics
Toronto, ON
November 3, 2022

Company Overview

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Department Overview

The Model Development (MD) group is part of the Market Risk and Model Development group within Risk Management at TD Bank. It is responsible for methodology development related to Market Risk and Credit Risk for the Retail, Wholesale and Business Banking as well as Operational Risk bank wide. These methodologies cover, but are not limited to, Credit parameters (PD, LGD, UGD), Regulatory & Economic Capital for AIRB Credit Risk, General Allowances, Value at Risk (VaR), and Counterparty Credit Risk.

Job Description

The MD group is hiring a Modelling/Forecasting Specialist to develop, enhance, and implement credit risk models for the Commercial Real Estate (CRE) segment of the US Non-Retail portfolio. Detailed responsibilities are as follows:

  • Build and maintain US CRE allowance (CECL, IFRS 9, General Allowance) and Stress models (CCAR, EWST, MST)
  • Conduct applied research and analyses pertaining to CRE and credit risk modeling
  • Develop automated tools to identify changes in portfolio characteristics and expected credit losses for the US CRE portfolio
  • Act as a subject matter expert on CRE molding methodologies and conduct economic and industry research
  • Leverage internal and external data to enhance existing methodologies
  • Perform ad hoc analyses as required by management and other business partners
  • Participate in the design, planning, implementation and testing of various modeling initiatives
  • Collaborate with non-retail teams and participate in cross-functional projects as needed
  • Produce and maintain well-articulated documentation on above
  • Write and maintain robust code for performing the above functions

Requirements

  • Graduate degree in a quantitative field, such as Applied Econometrics, Economics, Mathematics Statistics, Actuarial Science, Computer Science or Physics
  • Strong background in data-driven statistical modeling
  • Programming experience is required. Experience with SAS is not necessary but is preferred
  • Experience working with relational databases and SQL
  • Strong interest and ability to undertake applied research
  • Out-of-the-box thinker and enthusiastic in solving problems
  • Strong written and verbal communication skills
  • Ability to work in a multi-disciplinary team setting
  • Strong work ethic and adaptable to changing priorities
  • Prior knowledge and experience with CRE, stress testing and/ or allowance is an asset

#LI-Hybrid

Hours

37.5

Inclusiveness

At TD, we are committed to fostering an inclusive, accessible environment, where all employees and customers feel valued, respected and supported. We are dedicated to building a workforce that reflects the diversity of our customers and communities in which we live and serve. If you require an accommodation for the recruitment/interview process (including alternate formats of materials, or accessible meeting rooms or other accommodation), please let us know and we will work with you to meet your needs.