I am involved in the ongoing liquidity risk assessments of TD Securities lines of businesses. Along with my colleagues on the Treasury Initiatives team, I ensure that any possible liquidity risk is identified and modeled accurately. Additionally our team is responsible for interpreting new regulation, developing new reports and reviewing current assumptions.
Recent projects I have worked on:
-Interpreted, produced and continue to report the Basel III Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR). Additionally, I developed an automated process around the report in anticipation of more frequent reporting requirements.
-Contributed to the development of a Contingency Funding Plan (CFP) for TD Securities.
-Developed a counter-party specific market risk report, that details the derivative exposure of a single, or list of OTC counter-parties.
-Developed and currently produce a monthly liquidity risk dashboard for the wholesale bank. Including the monitoring of key market indicators, currency liquidity gaps and funding spreads, etc.