Risk Analyst – FRTB Default Risk Model

4 weeks ago

Toronto, Canada Infotek Consulting Services Inc. Full time

Job Title: Risk Analyst – FRTB Default Risk Model

Location: Toronto, ON (Hybrid – 4 days onsite at 200 Bay St, 1 day remote)

Duration: 6 months (no planned extension)

Overview

We are seeking a highly analytical Risk Analyst to support development and enhancement of regulatory capital models within the Fundamental Review of the Trading Book (FRTB) framework. The successful candidate will contribute to the design, documentation, and testing of default-risk charge models, ensuring compliance with internal governance standards and regulatory expectations.

Key Responsibilities

- Support model development and validation of the trading book FRTB Default Risk Charge (DRC) model.
- Perform quantitative analysis, model testing, and large-scale data validation using Python and SQL.
- Work with stakeholders to resolve data and modelling issues, ensuring accuracy and consistency in risk capital computations.
- Prepare documentation aligned with governance and model risk-management standards.
- Collaborate with model developers and risk partners to enhance methodologies and controls.

Must-Have Qualifications

- Proficiency in Python (including experience adapting to PySpark) and SQL.
- Experience with regulatory default-risk capital model development under the FRTB framework.
- Strong understanding of risk management, capital adequacy, and reference-data handling.
- Proven analytical skills and ability to work with complex datasets.
- Business analysis and problem-solving experience in financial or capital-markets environments.
- Strong communication skills and ability to convey technical information clearly.

Nice-to-Have

- Familiarity with market-risk measurement and valuation methodologies across trading products.
- Experience with risk systems and model-governance documentation.

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