Developing hypothetical and BAU scenario forecasts for the following constructs:
Canada sovereign interest rates, Canada swap rates, and CORRA (Canadian Overnight Repo Rate Average).
Implied volatilities for Canada interest rates
CAD/USD exchange rate
Canada S&P/TSX Index and Canada MSCI Index
Canada unemployment rate, Canada GDP, and Canada CPI
Canada HPI
Canada imports, exports, and reserves
Canada money supply
Supporting scenario projections used as part of the Canada regulatory and stress test scenarios
Lead model development efforts to build best-in-class models for the constructs outlined above.
Produce macroeconomic scenario forecasts for Canada macroeconomic variables in firmwide regulatory related processes, such as CECL, CCAR and IFRS 9
Utilize Python to build and test statistical models. Write clean, efficient, and well-documented code.
Conduct rigorous analytical research to identify causal drivers and to support methodological approaches
Communicate results to diverse audiences.
Identify modeling opportunities that yield measurable business results.
Qualifications:
PhD and 2+ years of post-PhD work experience, or Master’s degree and 4+ years of work experience
Experience generating forecasts for Canada macroeconomic or financial variables, particularly under hypothetical stress scenarios as part of regulator exercises
Strong understanding of quantitative model development approaches
Demonstrated expertise in implied volatilities for Canada interest rates
Practical experience utilizing XGBoost as part of the model development process
Practical experience writing programs to build and test predictive models
Proficient in Python
Consistently demonstrates clear and concise written and verbal communication skills
Self-motivated and detail oriented
Demonstrated project management and organizational skills and capability to handle multiple projects at one time.