Risk Analyst – SQL & IRR

Risk Analyst – SQL & IRR

ProViso Consulting

Summary Of Day To Day Responsibilities:

• The Treasury and Balance Sheet Management (TBSM) department of client Bank is responsible for measurement and management of the bank’s domestic and foreign subsidiary banking portfolio.
• TBSM looks after liquidity and funding management, cash management, investment strategy, capital management, funds transfer pricing, and market risk management.
• The Market Risk Measurement and Analytics (MRMA) team within TBSM is responsible for measuring and reporting the interest rate, equity, and foreign exchange risks for client non-trading portfolio. The mandates include:
o Building a best-in-class risk analytics infrastructure.
o Producing risk measurement reporting focused on understanding current market risk exposure and risk limits.
o Performing analysis to deepen our understanding of market risk and provide valuable insight & recommendations for management decisions.
o Putting in place best-in-class governance processes to ensure accuracy of results.
o Ensuring that our people have the right skills to deliver best-in-class analytics and ALM modeling.
o Effectively communicating our results and insights to our stakeholders.

Overview Of Responsibilities

• The analyst will be responsible for managing Non-trading market risk valuation and reporting process, providing insights into interest rate risk measurement and participating TBSM projects by utilizing TBSM models and assumptions.
• Acted as the model owner, the senior analyst will also manage the TBSM FP measurement process, modelling and its assumptions.

Key Responsibilities Include:

• Manage the client non-trading book market risk measurement metrics and ensure the financial position risks are accurately and completely captured and understood on a daily basis.
• Work closely with the TBSM Front Office, Modelling and Technology Support team to analyze, recommend and implement the new models and assumptions.
• Ensure that all TBSM models, assumptions and limitations are understood, documented and approved for the banking book’s products.
• Manage internal and external initiatives and projects and engage internal stakeholders to ensure the project issues are addressed and able to deliver.
• Provide valuation services to support risk reporting, corporate development project, Bank’s internal and external regulatory reporting and new business initiatives.
• Execute infrastructure changes with regards to implementation of new/revised framework, new products or processes and ensure that changes are executed in accordance with internal change control procedures and EUC standards.
• Display a thorough operational understanding of TBSM systems (eg: Canoe, Tableau) including change management process
• Foster and maintain effective working relationships with business partners
• Understand and comply with client Policies, regulatory and compliance requirements

Other Qualifications/Skills/Experience:

• Competencies and Personal Qualities:
o Using computer tools for data query and analytics.
o Strong communication and presentation skills.
o Self-starter with a proven ability to meet deadlines, own initiatives, and work effectively under minimum supervision.
o Strong conceptual, analytical, and problem solving capabilities. An ideal candidate is self-driven individual with a strong sense of curiosity, able to assess potential drivers and resolutions when issues rise.
o Able to multitask while maintaining attention to detail with tight timelines.
o Quick to learn and apply new concepts
o Excellent interpersonal skills; team player
o MBA, CFA, FRM, CA, and/or CMA considered assets
• Market risk management team in treasury
• Responsible for daily risk reporting and deduction process
• Review risk report and ensure the risks can be investigated and explained
• Also working on BAU projects (process improvements)
• Treasury/ balance sheet management

Must Have:

• Team Player
• Strong Excel (pivot tables, v-lookups, navigation)
• Superior understanding of capital market instruments including bond and interest rate derivatives.
• Superior understanding of risk measurement and valuation concepts (cash flow, PV, IRR, duration, convexity, etc.).

Nice To Have:

• SQL – simple queries
• Financial service or consulting practice experience in the areas of Asset Liability Management, risk management accounting and/or finance.
• Knowledge of retail banking product features and characteristics.

Job Details



18 Months



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