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National Bank of Canada
IRRBB AnalystNational Bank of Canada • Montreal (administrative region), QC, Canada
IRRBB Analyst

IRRBB Analyst

National Bank of Canada • Montreal (administrative region), QC, Canada
30+ days ago
Job type
  • Full-time
Job description

A career as a Production & Metrics Analysis Analyst – IRRBB within the Treasury Analytics team at National Bank means acting as an expert in the production and analysis of interest rate risk. Through your experience and knowledge in finance and/or programming, and your involvement, you will have a positive impact on the sound management of our Asset and Liability Management (ALM).

Your role

  • Calculate, analyze, and validate all IRRBB (Interest Rate Risk in the Banking Book) metrics related to interest rates to provide the ALM Front Office with the exposures and sensitivities needed for their daily positioning
  • Analyze and explain significant variations in IRRBB risk exposures and quickly resolve any discrepancies
  • Produce and distribute weekly, monthly, and quarterly IRRBB risk reports, as well as stress tests
  • Calculate, analyze, and validate economic P&L and Net Interest Income (NII)
  • Provide quarterly updates to the Financial Governance and Internal Audit teams (RDARR)
  • Produce Core Banking inputs required for Treasury VaR calculations
  • Generate data quality reports required for all production processes
  • Perform month‑end reconciliation between the Bank’s consolidated balance sheet (excluding trading) and the risk position
  • Adapt production and reporting processes to reflect changes in risk methodologies and ensure accurate consideration of new products and activities
  • Contribute to testing, implementation, and integration of new products (financial markets and Core Banking) within the risk production framework

Within the Finance sector, you will be part of a team of 4 colleagues and report to the Senior Director. Our team stands out for its cutting‑edge expertise, dynamism, and agility. You will work in a friendly environment in close collaboration with the Asset Financing and Treasury teams.

Prerequisites

  • Bachelor’s or Master’s degree in Mathematics, Actuarial Science, Finance, or Economics
  • Exceptional skills in calculation, analysis, and investigation
  • Experience with large datasets, data analysis, and data visualization
  • Experience with QRM, Python, SQL, and other programming languages (an asset)
  • Knowledge of financial products, including derivatives and their risks
  • Ability to make decisions and present recommendations to senior management
  • Effective communication and interpersonal skills are essential for professional interactions with partners and senior management to ensure a high level of credibility

Languages: English

Your benefits

  • Health and wellness program, including many options
  • Flexible group insurance
  • Generous pension plan
  • Employee Share Ownership Plan
  • Employee and family assistance program
  • Preferential banking services
  • Involvement in community initiatives
  • Telemedicine service
  • Virtual sleep clinic
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IRRBB Analyst • Montreal (administrative region), QC, Canada

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