Associate Director, GRA - Market Risk Analytics in Toronto

What is the opportunity? As Associate Director, you will take a leading role and undertake analysis to design, develop, and provide ongoing maintenance of the quantitative models used in internal risk management and regulatory capital reporting. In this role you will support capital markets trading and investment portfolios across different asset classes. This includes working with the business and the broader risk teams to develop Value-at-Risk (VaR) models, which facilitates the bank's effective risk management and governance on market and counterparty credit risk model usage.

What will you do?

• Develop Value-at-Risk (VaR) models for various financial instruments.
• Develop computer programs to implement the methodology or test methodology soundness.
• Remediate model issues from internal validation, internal audit as well as external regulators.
• Create documentation for the risk models that will satisfy the regulatory expectations (for example, SR-11-7 guidelines published by the Fed).
• Develop and implement performance monitoring framework for VaR models.
• Conduct model performance monitoring on a regular basis.
• Summarize the monitoring results into documentation and present results in review committees.
• Work with market data team to ensure the accuracy and completeness of the market data used to support the various models.
• Provide comprehensive explanation to risk managers, senior management and regulators regarding methodology analysis.

Must-have:

• Over 1 year of working experience in quantitative analytics field.
• Good knowledge of regulatory requirements under statistical regression models, market risk models and regulatory rules.
• Broad product knowledge across fixed income, equity and derivative instruments.
• Excellent programming skills (Python or equivalent).
• Proficiency in data management and visualization tools, including databases (SQL/Tableau).
• Ability to collaborate effectively and contribute to team objectives.
• Adaptability to changing circumstances in dynamic environments.
• Excellent communication skills with the ability to simplify complex information clearly.

Nice-to-have:

• Prior experience in a trading or risk modeling role.
• Proficiency in developing statistical models using complex, large-scale time series datasets.
• Be familiar with secondary trading market of fixed income instruments in the USA.

What's in it for you?

We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to deliver trusted advice to help our clients thrive and communities prosper. We care about each other, reaching our potential, making a difference to our communities, and achieving success that is mutual. A comprehensive Total Rewards Program including bonuses and flexible benefits, competitive compensation, commissions, and stock where applicable. Leaders who support your development through coaching and managing opportunities. Ability to make a difference and lasting impact. Work in a dynamic, collaborative, progressive, and high-performing team. A world-class training program in financial services. Flexible work/life balance options. Opportunities to do challenging work.

Job Skills: Quantitative Models, Value at Risk (VaR)