Analyst Model Validation
TMX GROUP
Montreal, Canada
5d ago

Reporting to the Senior Manager Model Validation, the analyst will perform quantitative and qualitative validation of models developed to assess and analyze market, credit, liquidity and financial risks.

As a member of the team, the candidate will be responsible for validating the soundness of Central Counterparties (CCPs) and other TMX entities’ models and systems.

He will provide expertise and advice regarding advanced modelling techniques and applications as well as ensure that model methodology and implementation meet regulatory and internal policies.

The Company :

TMX Group is at the heart of the Capital Markets industry in Canada. TMX Group owns and operates the Toronto Stock Exchange, TSX Venture Exchange, TSX Alpha Exchange, Montreal Exchange, Trayport, AgriClear (tech start-

up), in addition to the Canadian Depository for Securities (CDS) & Canadian Derivatives Clearing Corporation (CDCC). We also operate globally diverse lines of businesses in Issuer Support (TSX Trust), Data Delivery & Analytics (TMX Datalinx and TMX Insights) and Fixed-

Income / Energy Brokerages & TSX Private Markets (Shorcan). We have offices in Toronto, Montreal, Calgary, Vancouver, London, New York, Houston & Beijing.

Department Overview :

TMX Group Internal Audit provides independent, objective, risk-based assurance and consulting services that are guided by a philosophy of adding value to improve the operations of the organization.

We assist the organization to accomplish its objectives by bringing a systematic and disciplined approach to evaluate and improve the effectiveness of the organization’s governance, risk management and internal control.

Role Summary :

Reporting to the Senior Manager Model Validation, the analyst will perform quantitative and qualitative validation of models developed to assess and analyze market, credit, liquidity and financial risks.

As a member of the team (either Toronto OR Montreal), the candidate will be responsible for validating the soundness of Central Counterparties (CCPs) and other TMX entities’ models and systems.

He will provide expertise and advice regarding advanced modelling techniques and applications as well as ensure that model methodology and implementation meet regulatory and internal policies.

Key Accountabilities :

  • Perform research requirements and analyzes alternatives solutions to provide efficient recommendations about the appropriateness of the risk models
  • Draw upon your experience and knowledge to provide appropriate model risk assessments consistent with the model’s risk content, design objectives and intended business use
  • Perform independent validation and effective challenge of the model’s components using theoretical and empirical analysis to assess the soundness and the performance of the risk models
  • Develop quantitative solutions (financial, risk, pricing, econometric, forecasting) to benchmark or replicate the results of the model to be validated
  • Carry out the validation of the new risk system related models for both Central Counterparties (CDCC and CDS)
  • Provide in-depth analytical reports on model validation and participate in setting up the model validation reports and presentations for the regulators and executives risk committees
  • Develop and maintain work relationship with key counterparts and stakeholders as identified for each validation work
  • Ensure that independent validations are consistent with appropriate standards and best practices and changes in the operating environment
  • Perform other assignments as directed by your immediate superior or by the Chief Internal Auditor
  • Skills and Experience :

  • MSc in Finance, Mathematics, Economics, Engineering or other quantitative fields
  • Minimum 2+ years of relevant experience
  • Experience in researching, developing and implementing quantitative models for measuring, analyzing and managing financial risks
  • Advanced theoretical and knowledge of a broad range of quantitative models and risk systems used in the financial world
  • Knowledge of programming tools such as VBA, Matlab, SQL and other standard database query tools and related applications.
  • Advanced skills in Matlab is required.

  • Ability to identify issues, analyze problems, synthesize information and make recommendations. In-depth ability to write reports to convey information that is subject to interpretation
  • Knowledge of Principles for Financial Market Infrastructure (PFMI) Guidelines is a plus
  • Behavioral

  • Capable of managing multiple projects and priorities concurrently
  • Excellent communication skills, both orally and written
  • Highly motivated team player
  • Commitment to meeting deadlines and ability to work in high pressure environment
  • Ability to work independently with minimal supervision
  • Inquisitive and committed to learning / self-improvement
  • Flexible and able to adapt to change
  • TMX is committed to creating and sustaining a collegial work environment in which all individuals are treated with dignity and respect and one which reflects the diversity of the community in which we operate.

    We provide accommodations for applicants and employees who require it.

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