Director, Treasury Retail Option Analytics

* ** Financial / Interest Rate Derivative Analytics** –  Lead the design and implementation of advanced analytics and methodologies for risk representation and funds transfer pricing of retail products. Take ownership of developing robust pricing and risk analytics that ensure all practical hedge-able risks are identified and managed. Lead initiatives to prototype pricing and hedging strategies for fixed income derivatives.  Apply your knowledge of interest rate derivatives (e.g., swaps and swaptions) valuation and market risk concepts to retail banking products.
* ** Consumer Behavioural and Quantitative Analysis** - Apply advanced customer behaviour modeling techniques (e.g. GLM, survival analysis) to support Treasury Analytics parameter reviews, delivering precise and insightful analysis.
Collaborate on the development, ongoing improvement, and expansion of an analytics library, equipping the team with robust tools, models, and techniques for modeling customer behaviour and interest rate valuations and risk.
Lead the implementation of sophisticated mathematical models, processes, and algorithms for analysis, ensuring operational effectiveness, accuracy, reproducibility, and comprehensive documentation of methodologies.  Data analytics capabilities to query and derive insights from data, using tools such as Python, R, SQL etc.
* ** Systems and Support (Infrastructure)** - Support the development and implementation of strategic business initiatives, collaborating across CIBC to communicate Treasury Analytics methodologies and resolve analytic/data requirements.  Oversee the maintenance of the pricing, risk, and analytics library, ensuring integration and consistency across all Treasury systems for bank-wide benchmarking and risk validation.  Develop and execute test plans, quality assurance, and user-acceptance testing to validate analytics and methodologies.
Ensure all models and methods are vetted and approved, maintaining consistency of risk measures and mitigating model risk across platforms.
* ** Management and Enhancement of Cash-Flow Modeling Books** – Oversee the modeling of the retail risk representation in the cashflow modeling book (CFMB).
Collaborate with the LOB to understand any behavioural changes and strategic thinking to evolve the program to effectively model and hedge risk. Liaise with Treasury CFO group to interpret and explain cash-flow modeling P/L variability. Enhancing PnL decomposition processes and signing off on daily and monthly cash-flow modeling P/L.
** You can demonstrate
** 5+ years experience in Asset Liability Management (ALM), Analytics, Modeling, and Risk Management with a bank and/or other financial institution. In addition, you have 5+ years experience in quantitative analytics in areas of valuation, hedging and risk measurement is a strong asset. You will also have strong work experience in applied mathematical, quantitative analytics, statistical, or stochastic modeling. Strong system and quantitative programming skills using C++/Python/R/SQL or high-level languages will be an asset.

You have strong theoretical understanding of financial economics, financial mathematics, statistics, risk management and option modeling techniques, along with the 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 will be beneficial.  
** It’s an asset
** if you have 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.
* 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 Moment Makers, our social, points-based recognition program.
* Our spaces and technological toolkit will make it simple to bring together great minds to create innovative solutions that make a difference for our clients.
* We cultivate a culture where you can express…