Senior Analyst, Treasury Modelling

## Responsibilities **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 replicate results from other platforms. * Focus efforts on funds transfer pricing models/margin reporting, hedge accounting reports, duration calculation, liquidity matching, stress testing, and liquidity regulatory reporting. * Ensure all processes are documented as per Bank documentation standards. **Develop complex behavioural models (30%)** * Provide 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, including reviewing existing data and expanding where needed. * Understand result sensitivity to assumptions and 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. * Utilize SQL and Python platforms. **Departmental Analytics Support (20%)** * Support other Treasury, Finance, and corporate requests. * Support Treasury function with additional development. * Provide reports for ALCO and ERM meetings, including 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 programming/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. ## Requirements * Undergraduate degree with a focus on math and/or computer science. * 3 to 5 years of experience in financial model programming. * Strong programming experience and database management knowledge using SQL and Python. * Strong skills in problem solving, logical thinking, process building, and analytics. * Awareness of machine learning (including deep learning) and underlying models (LSTM, convolution, deep and shallow layers). * Keen interest in financial markets and financial engineering, with a strong desire and ability to learn new financial concepts. * Ability to collaborate with various functional support groups. * Excellent interpersonal and communication skills both written and verbal. * Ability to pay attention to details. * Possess good business acumen. ## Nice to Have * Demonstrated understanding in fixed-income financial concepts (i.e., bonds, mortgages, derivatives, and yield curves). * Knowledge of Liquidity risk, Interest rate risk, and hedge accounting. ## Benefits * No specific benefits listed in the provided description.