Director, Treasury Retail Option Analytics

Lead the design and implementation of advanced analytics and methodologies for risk representation and funds transfer pricing of retail products.,Develop robust pricing and risk analytics to identify and manage hedge-able risks.,Lead initiatives to prototype pricing and hedging strategies for fixed income derivatives.,Apply knowledge of interest rate derivatives (e.g., swaps and swaptions) valuation and market risk concepts to retail banking products.,Apply advanced customer behaviour modeling techniques (e.g. GLM, survival analysis) to support Treasury Analytics parameter reviews.,Collaborate on the development, ongoing improvement, and expansion of an analytics library.,Lead the implementation of sophisticated mathematical models, processes, and algorithms for analysis.,Support the development and implementation of strategic business initiatives and collaborate across CIBC to communicate Treasury Analytics methodologies.,Oversee the maintenance of the pricing, risk, and analytics library, ensuring integration and consistency across all Treasury systems.,Develop and execute test plans, quality assurance, and user-acceptance testing to validate analytics and methodologies.,Oversee the modeling of the retail risk representation in the cashflow modeling book (CFMB).,Collaborate with the LOB to understand behavioural changes and strategic thinking to evolve the program.,Liaise with Treasury CFO group to interpret and explain cash-flow modeling P/L variability.,Enhance PnL decomposition processes and sign off on daily and monthly cash-flow modeling P/L.

5+ years experience in Asset Liability Management (ALM), Analytics, Modeling, and Risk Management with a bank and/or other financial institution.,5+ years experience in quantitative analytics in areas of valuation, hedging and risk measurement (strong asset).,Strong work experience in applied mathematical, quantitative analytics, statistical, or stochastic modeling.,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.,Experience in advanced GLM (including Cox regression), panel time series and model selection (beneficial).,Experience in working with banking retail products such as commitments, mortgages or GICs, and/or exposure to valuation and risk metrics of various interest rate derivatives (asset).,Masters/Doctoral degree in mathematics, computer science, quantitative finance, engineering, statistics and/or related technical subject.

Master's Degree or Doctoral Degree

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