Job Posting Title: ALM Analysis & Model Operations Analyst
Contract Length: 6 months (high likelihood for 6 month extension based on performance)
Location: WFH (once on site: Downtown Toronto)
Story Behind the Need
Business Group: Balance Sheet Analysis is seeking an ALM Analysis & Model Operations Analyst to assist with two projects:
1) The candidate will perform fallback valuation and assessment, as well as the develop data retrieval and reconciliation work on relevant transactions
2) the candidate will be part of the development of data tools and analytical techniques for the management of structural interest rate risk.
The candidate thrives in a collaborative team environment, building and enhancing internal relationships with Finance, Traders and Risk Management. He/she must be able to multi-task and demonstrate an ability to identify process improvement opportunities. This is a position that requires a strong commitment, with tight deadlines that result in competing demands and heavy workload at peak times.
Candidate Value Proposition:
The successful candidate will have the opportunity to gain exposure to 2 projects and have the chance to be extended for another long-term contract.
Typical Day in the Role:
Enhanced Data Analytics Project • Develop and maintain processes to automate data retrieval, reconciliation, and transformation. Develop interfaces with highly sophisticated Interest Rate Analytical tools and APIs for analysis. • Develop, maintain, and follow standards and control protocols to ensure output is correct and reproducible. • Write, implement, test, and utilize sophisticated quantitative models for hedging and ALM purposes. • Enhance the data and parameters analytics for Structural Interest Rate Risk assessments. Benchmark Rate Reform Project • Analyze the relevant calculated outcome against regulatory and internal requirements to ensure calculations are consistent with expected analytical and quantitative requirements. • Provide timely analysis of balance sheet exposures and what-if scenario testing. • Ability to understand the impact related to hedge accounting and adjust relevant transaction calculation to reflect its requirement Both Projects • Ensure operational effectiveness to deliver analytics capabilities to end users. • Work closely with market-facing, risk management, and finance teams on the various analytical, reporting and exposure measurement issues. • Present to other Treasury colleagues regarding new SIRR analytics and ALM methodology impact testing.
Must Have Skills/Requirements:
1) BSA -2+ years of professional experience liability management, hedge accounting and risk management
2) 2+ years of experience in database management and development of analytical tools with a solid understanding of statistics, derivatives concepts, as well as interest rate sensitive products
4) SQL (building ALM systems / processes; writing queries & scripts and do calculations within script) – 2+ years of hands on experience
5) Previous model development experience and proven ability to assess, interpret, and implement financial theories, concepts, and models
Nice to Have Skills:
• Interest rate product understanding
• Treasury setting experience or wholesale trading setting • Tier 1 FI or Large Banking (one of the big 5 Banks in one of the above) • MATLAB data/statistical modeling software (to automate processes and handle large amounts of data)
• Working understanding of interest rate market dynamics and financial/management accounting principles.
• Understanding and practical experience in Interest Rate Sensitivities.
• Strong presentation and communication skills, both oral and written.
• Strong customer-focus with a proven ability to translate complex customer requirements into user-focused final product.
• Creative problem solver and strong analytical skills.
• Clear communication – written & verbal (stakeholders, key assumptions & risk they see) • Strong presentation skills – use and analyze data and explain it in a management/business perspective • Concise answers, easily articulate for the benchmark portion, for data portion – look into calculations • Agile • Good at managing times and projects • Self sufficient, independent • Problem solver with strong analytical skills
• Graduate degree(s) in Commerce (MBA, MFin, MAcctg, etc) with a highly technical undergraduate discipline (engineering or computer science) or equivalent
Process: 2-Step Process: 1 Interview with Hiring Manager and 1 with Team