Senior Risk Analyst, Treasury Modelling

April 13, 2018

Job: Senior Risk Analyst, Treasury Modelling
Duration: 1-year
Location: Toronto, ON

The department is responsible for the measurement and management of market risk (interest rate and foreign exchange) for the Bank's non-trading portfolios. The team is responsible for ensuring appropriate models and assumptions are available to accurately model the balance sheet for funds transfer pricing (FTP), liquidity, stress testing, internal capital adequacy assessment program (ICAAP) and for the purposes of measuring and managing non-trading market risk. Within the team, the Customer Behavior Modelling and Analysis group supports stress testing, valuation and hedging of various bank products, option exposures, and investment asset classes through statistical analysis of customer behavior.

The incumbent will be responsible for building, documenting, presenting, and back testing various statistical models and analytics to support their hedging, valuation and stress testing framework. The candidate will also assist with building tools to automate the data extraction and modelling processes. The candidate will analyze business requirements, build statistical models and processes, and conduct sensitivity analyses to assess the impact of model assumptions on the bank’s margins and risk metrics. The selected individual will have an opportunity to learn the Bank’s industry leading management paradigm, and to play an important role within the group.

•2-4 yrs+ exp. as a Treasury Analyst (Treasury Modelling)
•Working exp. of financial markets & fixed income portfolio mgt. techniques & valuation models.
•"Hands-on" exp. building databases using SQL programming, C#, Excel VBA, C++ programming
•Exp. with statistical methods & libraries (e.g. SPSS, SAS, R)
•Exp. creating SQL queries to extract & manipulate data
•Solid MS Office skills (Excel, VBA, Word, PowerPoint)
•Strong presentation and documentation skills
•Degree in Statistics/Economics/Computer Science/Actuarial Science/Risk Management/Finance

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