TD Bank Quantitative Analyst in New York City, New York

Auto req ID 205497BR

Job Title Quantitative Analyst

Job Status Full Time

Country United States

Province/State New York

City1 New York City

Location NYC - 52nd St (15th Fl)

Business line TD Securities

Job Category - Primary Technology Solutions

Job Category(s) Technology Solutions

TD Description About TD Bank, America's Most Convenient Bank®

TD Bank, America's Most Convenient Bank, is one of the 10 largest banks in the U.S., providing more than 8 million customers with a full range of retail, small business and commercial banking products and services at approximately 1,300 convenient locations throughout the Northeast, Mid-Atlantic, Metro D.C., the Carolinas and Florida. In addition, TD Bank and its subsidiaries offer customized private banking and wealth management services through TD Wealth®, and vehicle financing and dealer commercial services through TD Auto Finance. TD Bank is headquartered in Cherry Hill, N.J. To learn more, visit at Find TD Bank on Facebook at and on Twitter at .

TD Bank, America's Most Convenient Bank, is a member of TD Bank Group and a subsidiary of The Toronto-Dominion Bank of Toronto, Canada, a top 10 financial services company in North America. The Toronto-Dominion Bank trades on the New York and Toronto stock exchanges under the ticker symbol "TD". To learn more, visit at .

Department Overview

As a leading corporate and investment bank, TD Securities provides a wide range of capital market products and services to corporations, governments and institutions. Our clients choose us for our knowledge, innovation and experience in the following key areas of finance: investment, corporate and government banking, capital markets, interest rate, currency and derivative products.

TD Securities works with clients around the world, and our services include the underwriting and distribution of new debt and equity issues, providing advice on strategic acquisitions and divestitures, and executing daily trading and investment needs.

TDS Technology Solutions

As TDS’ Technology Solutions (TS) continues to evolve, we remain focused on implementing greater governance around our planning, development, delivery, measurement and reporting activities. Our goal is to run our IT shop as a business, have the right tools and information to improve our productivity and value across all TD lines of business

Job Description

As a member of the Quantitative Modeling and Analytics team, you will be responsible for

 Developing, maintaining and supporting a highly object-oriented C++ library containing quantitative models used for pricing and risk management of Interest Rate, FX, Credit and Commodity derivatives as well as Relative Value and algorithmic strategies and models.

 Working with various data sources to estimate model parameters, identify relative value signals and backtest trading strategies

 Working closely with Trading, Sales, Research, Market Risk and other functional teams across TD Securities to provide support on the usage of our models and assistance with development of pre-trade tools for calibration of models and pricing of trades using the modeling library.

 Collaborating with members of the quant team and Technology Solutions to ensure the models are properly implemented in IT systems.

 Assisting with resolving any issues raised by models’ users

Job Requirements

 Strong knowledge of Interest Rates Options market conventions, pricing and risk management techniques

 Strong knowledge of Linear Interest Rates Derivatives including swaps, xccy swaps, FRAs, futures, etc.

 Knowledge of Fixed Income Products (Bonds) and their Derivatives

 Ability to respond quickly to urgent requests from Front Office


 In-depth knowledge of volatility modeling including (but not limited to) the SABR model and its extensions

 Strong knowledge of modern approaches to modeling interest rates derivatives including:

o Swaps

o Caps/Floors

o Swaptions

o IR Futures Options

o Bond-based derivatives (TRS, Rate Locks, Bond Options, Futures and Options on Bond Futures)

o Other exotic interest rate options including xccy swaptions, CMS, index spread options, and options on structured rate products

 Strong knowledge of financial mathematics including stochastic calculus

 Experience with numerical methods (Monte Carlo, numerical integration, PDE/ODE solving techniques)

 Extensive hands-on experience with C++ development

 Sound technical knowledge and analytical skills.

 Follow established testing procedures, standards and processes

 Lead in knowledge transfer within the team, and business units globally.


 Develop and maintain relationships with Client(s), Relationship Managers and Project Managers.

 Work effectively in a team, supporting other team members in achieving project/ business objectives and providing client services.

 Support a positive work environment that promotes customer service, quality, innovation and teamwork and ensure timely communication of issues/ points of interest.


At TD, we are committed to fostering an inclusive, accessible environment, where all employees and customers feel valued, respected and supported. We are dedicated to building a workforce that reflects the diversity of our customers and communities in which we live in and serve, and creating an environment where every employee has the opportunity to reach her/his potential.

If you are a candidate with a disability and need an accommodation to complete the application process, email the TD Bank US Workplace Accommodations Program at . Include your full name, best way to reach you, and the accommodation needed to assist you with the application process.

EOE/Minorities/Females/Veterans/Individuals with Disabilities/Sexual Orientation/Gender Identity.

**Province/State (Primary) New York

City (Primary) New York City