What are the responsibilities and job description for the Derivatives Valuations & Quantitative Analyst position at Toyota?
Who We’re Looking For
The TFS Treasury Risk Management department is looking for a passionate and highly motivated Derivatives Valuations & Quantitative Analyst to support its objectives.
The primary responsibility of this position focuses on assisting/leading the development, production and maintenance of complex financial products including derivatives, structured debt and a broad range of consumer lending products for the company’s ~$300 Billion Balance Sheet and derivatives portfolio.
The Derivatives Valuations & Quantitative Analyst will report to the National Manager of Treasury and will play a critical role in advancing TFS Treasury Risk Management department.
What You’ll Be Doing
Valuation Analytics & Modeling
- Develop and maintain complex valuation models and related risk analytics, in vendor platforms or in-house built databases/models, within the Treasury Valuations function using various tools such as Excel, Python, SQL, SSIS, Calypso, Numerix, FINCAD, Bloomberg, Reuters, Wall Street Suites, Intex, ADCo and other similar platforms.
- Work closely with various groups within TFS Treasury, including Treasury Operations, Front Office and Technology teams to value and validate all inputs, assumptions, and calibrations in order to determine the fair value of products shown in the financial statements of the Company.
- Propose, review, and validate various inputs to pricing and valuation models. These include interest rates, yield curves, FX rates, volatility surfaces, prepayment curves, loss curves, calibration parameters and other assumptions related to determining the fair value of products shown both in the financial statements of the Company and for internal strategic purposes.
- Take ownership of the various derivative and discounted cash flows based models, stochastic (SABR based) option valuation models, and multi-curve (cross-currency) interest rate building methodologies to ensure the accuracy pricing and timely risk analytic calculations.
- Lead/assist with maintaining and developing various valuations models within the Treasury function for fixed income and derivative products such as ABS, MBS, credit products, interest rate swaps, options, inflation derivatives, corporate and municipal bonds, and various other products of differing complexity in the FX, interest rate, equity, credit and volatility sectors.
- Lead/assist with maintaining and developing various valuations models within the Treasury function for products such as Mortgage, Commercial, and Consumer Loans, with an understanding of prepayment, delinquency, recovery rates and credit risk impacts on discount cash flow analysis.
Valuation Automation and other
- Drive the efforts behind the development, calibration, automation, and maintenance of any valuation and validation processes used in fair value reporting responsibilities. This will include developmental initiatives leveraging tools such as SQL, SSIS and Tableau, as well as other automation tools.
- Provide leadership and assistance in the development of other automated processes throughout the Treasury Valuations group to ensure the fair value, risk analytics, PnL and financial reporting processes are as seamless and automated as possible.
- Where automation is not possible in the short to medium term, work with various departments throughout Treasury to enhance and streamline the Excel workbooks and data workflows that are being used. This will entail the use of advanced Excel functions such as macros, pivot tables and database connections.
- Other responsibilities include assisting with special projects related to programming/coding new valuation models and new funding products planned by the Treasury Front Office. In certain cases this position is expected to serve as point of contact and project leader.
- Participate in the review of audit controls, as well as business and/or regulatory changes to any policies that may impact fair value reporting and the related processes.
What You Bring
- Four-Year College Degree (BA or BS) in Quantitative Finance, Finance, Mathematics, Engineering, Physics Sciences, or equivalent field
- Valuation specific experience within the Banking industry or within the treasury division of a large financial institution required
- Maintain models and automated processes using various programming languages (i.e. SQL, Python, MATLAB, VBA, C /C#, or similar)
- Organized, with exceptional attention to detail
- Operates with a sense of urgency
- Strong communication skills
- Collaborative and able to interact with various cross-functional groups within TFS
- Flexible and adaptable
- Experience working with complex financial instruments, including derivatives
- Experience employing the variety of valuation techniques associated with complex and exotic OTC derivative products, fixed income securities, credit default swaps, securitized debt and consumer loan products
Added Bonus If You Have
- Advanced Degree (M.S. or MBA) in Financial Engineering, Quantitative Finance, Mathematical Finance or Financial Mathematics or equivalent field preferred
- Knowledge of valuation requirements for financial instruments such as loans, leases, debt, derivatives, investments, and structured products
- Knowledge of valuation tools and methodologies available in the market for financial instrument valuations. Strong quantitative and analytical skills
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