Quantitative Risk Analyst

1 day ago

Toronto, Ontario, Canada CB Canada Full time
{"Risk Analyst Role": "We are seeking a Risk Analyst to join our Treasury Modelling team within CB Canada. The successful candidate will be responsible for providing quantitative model support for business as usual and strategic Treasury Balance Sheet Management projects and initiatives.", "Key Responsibilities": "• 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 ", "Requirements": "• 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 ", "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 ", "Assignment Details": "• ASAP – 12 months to start \
• Toronto, ON – Work Hybrid ", "Our Company": "CB Canada is a leading provider of financial services. We are committed to excellence and innovation in our industry."}

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