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
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