Quants Analyst / Financial Engineer

Risk Analyst

On behalf of our client in the Banking Sector, PROCOM is looking for a Risk Analyst.

Risk Analyst – Job Description

The position reports to Senior Manager, Treasury Modelling team group within CTO

Provide quantitative model support to business as usual and strategic Treasury Balance Sheet Management projects and initiatives such as new product launches, integrated Treasury stress testing and scenario analysis tools, the new Asset Liability Management system (Canoe), regulatory requirements for non-trading market risk measuring and management (IRRBB), new market driven initiatives (BRR / IBOR / CDOR replacement) and interest-rate hedging strategies, Hedge Accounting and funds transfer pricing

Research industry best practices and support the development of quantitative valuation models for measuring and hedging the interest rate risk of retail, commercial and structured finance products in the Banking book under a multi-curve environment

Research industry best practice, address model validation, audit and regulatory requirements and / or findings in a timely manner.

Support the development of desktop tools for TBSM Front Office and internal TBSM partners to support their trading, portfolio management and interest rate hedging activities

The position must work effectively with internal and external partners of TBSM, including Front Office, the Investments Team, the Market Risk Measurement and Reporting Team, the Treasury Analytics Group, and the Model Validation and Management Team, to ensure the soundness and accuracy of the model development and implementation

Risk Analyst – Mandatory Skills

Experience in quantitative analysis / financial engineering

Knowledge of financial markets as well as fixed income portfolio management, hedging techniques and valuation models

Experience in model development or validation with a solid knowledge of stochastic processes

Strong analytical & communication skills, and demonstrated track record of creative problem solving & solution development

High level of self-motivation

Risk Analyst - Nice to Have Skills

Solid skills in C++ / C#

Python and VBA programming

Microsoft Office tools (Excel, Word, Powerpoint)

Experience in treasury

Fixed income and asset backed securities modelling an asset

Risk Analyst - Assignment Start Date

ASAP – 12 months to start

Risk Analyst - Assignment Location

Toronto, ON – Work Hybrid