Senior Analyst, Treasury Modelling

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