Director, Pension Risk Management - Canada - Canadian Imperial Bank of Commerce

Description

Director, Treasury Quantitative Analytics page is loaded Director, Treasury Quantitative Analytics

Apply locations Toronto, ON time type Full time posted on Posted 2 Days Ago job requisition id We're building a relationship-oriented bank for the modern world.

As the Director, Treasury Analytics, you will support Senior Directors to evolve and expand the mandate of Treasury Analytics, providing strategy and leading the management of individual cashflow modeling programs.

You will drive insights, identify inherent risk drivers of consumer products and relate relate modeling risk specifications back to the business.

This is a high visibility role where the Director must effectively communicate complex problems and solutions to senior treasury executives and LOB.

Additionally, you will maintain/enhance the analytics infrastructure developed in Treasury Analytics used to conduct analysis of how consumer behavior affects retail product cash-flows and the use of embedded options; to assist in appling advanced statistical models and financial engineering techniques to quantify and ensure mimimal consumer behaviour risk.

You will also assist in implementing/applying advanced analytics for optimization, reporting, P/L decomp and back-testing, and risk factor simulation and to interpret and explain any resulting output.

You'll have the flexibility to manage your work activities within a hybrid work arrangement where you'll spend 1-3 days per week on-site, while other days will be remote.

Management and Enhancement of Cash-Flow Modeling Books - Leadership role to specify and model the retail risk representation in the cashflow modeling book (CFMB).

This includes working with the LOB to understand any behavioural changes and strategic thinking to evolve the program to effectively model and hedge risk.

Financial/Derivative Analytics - Ensure pricing and risk analytics capture all hedge-able risks as is practical. Consumer Behavior Analytics - Apply customer behaviour calibration techniques for Treasury Analytics' parameter review.

Collaborate in the development, continuous improvement and ongoing expansion of an analytics library with appropriate tools, models and techniques for modeling of customer behaviour and interest rate risks.

Systems and Support (Infrastructure) - Lead development and implementation of various strategic business initiatives.

This includes liaise with various groups within CIBC to explain methodologies, and procedures developed within Treasury Analytics to assess analytic/data requirements for future business activities and resolve any issues which arise.

Lead the maintenance of pricing, risk and mathematical analytics library supporting integration across all Treasury systems that are used for Bank-wide benchmarking to validate pricing or risk.

This will ensure consistency of risk measures across different risk platforms and measures and mitigate model risk.
Quantitative Analysis - Lead the implementation of sophisticated mathematical modeling, processes or algorithms to conduct analysis . In ALM, Product Analytics, and Risk Management with a bank and/or other financial institution. You have strong work experience in applied mathematical, quantitative analytics, statistical, or stochastic modeling. Strong system and quantitative programming skills using C/C++/Python/R/SQL or high-level languages. Experience in working with banking retail products such as commitments, mortgages or GICs.
It's an asset.

Experience in quantitative analytics with a bank and/or other financial institution in areas of valuation, hedging and risk measurement is a strong asset.

Exposure to valuation and risk metrics of various interest rate derivatives will be an asset.

In financial economics, financial mathematics such as fixed income theory, statistics, treasury processes, risk management and balance sheet modeling techniques.

You have strong theoretical understanding of financial economics, financial mathematics, statistics, risk management and option modeling techniques. Ability to express modeling insights with an aptitude for explaining PnL and risk drivers. Masters/Doctoral degree in mathematics, computer science, quantitative finance, engineering, statistics and/or related technical subject.
You give meaning to data. Ability to express modeling insights with an aptitude for explaining PnL and risk drivers. Creative problem solver and strong analytical skills.

We work to recognize you in meaningful, personalized ways including a competitive salary, incentive pay, banking benefits, a benefits program*, defined benefit pension plan*, an employee share purchase plan, a vacation offering, wellbeing support, and MomentMakers, our social, points-based recognition program.

You need to be legally eligible to work at the location(s) specified above and, where applicable, must have a valid work or study permit .

Asset and Liability Management (ALM), Behavior Modeling, C++ Programming Language, Communication, Critical Thinking, Financial Modeling, Fixed Income Valuation, Hedging, PL/SQL (Programming Language), Product Analytics, Python (Programming Language), Risk Management, R Programming, Treasury Management At CIBC, we are in business to help our clients, employees and shareholders achieve what is important to them.

Working with CIBC makes you a part of a work environment committed to our clients, employees and communities - a place where you can excel.

Every day, our 44,000 employees help our clients achieve their financial goals, because what matters to our clients, matters to us.

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