Sr Analyst, Market Risk

ABOUT THE ROLE: 

The primary purpose of the role is to lead independent identification, measurement, assessment and monitoring of all market related risks (liquidity, structural interest rate, investments, Derivatives) on a company-wide basis.  This includes mastering the market risk concepts and contributing to the risk oversight of liquidity model and interest rate risk model, independently measuring and monitoring treasury activities using business intelligence tools, reporting to ALCO and Senior Management, and contributing to the on-going review and revisions to FBoC’s market risk measurement methodologies and technology. This role will play a significant part in the analytical and modelling work related to structured products and derivatives (such as RMBS, ABCP, CMBs, Deposit Notes, Interest Rate Swaps and Bond Forwards).

Risk Management & Compliance, in adhering to applicable compliance obligations, including Privacy, Anti-Money Laundering/Anti-Terrorist Financing and internal Anti-Fraud Policy requirements, must remain the over-arching focus in carrying out one’s responsibilities as outlined below:

Market Risk Measurement and Reporting

• Routinely measure and monitor market risk exposures (structural interest rate risk, liquidity risk, funding risk, investment and counterparty credit risk, etc) using approved methodologies
• Maintain enhanced market risk measurement systems and processes including the Liquidity Model in VBA and Asset and Liability Management System (ALM)
• Report Risk Warning Indicators on daily, weekly and monthly basis, prepare market risk ALCO reports on a monthly basis
• Ensure that market risk measurement systems meet regulatory requirements and industry best-practices
• Perform back testing and stress testing as required

Risk Analytics

• Provide effective review and challenges to lines of business.
• Build Power BI reports on Risk insights and trends.
• Assist with ad-hoc financial analysis and decision support

Model Oversight

• Monitor the model performance for liquidity horizon and IRR treasury system (TBSM)
• Analyse underlying behavioural assumptions and perform annual assumption reviews for liquidity horizon model
• Back testing on IRR assumptions monthly

Independent Valuation of Assets and Liabilities

• Perform valuation of all derivatives and securities (on and off-balance sheet), including liquid assets, investment portfolio, bond forwards, total return swaps and interest rate swaps
• Manage Independent Pricing Valuation guideline
• Prepare quarterly commentary on fair value movements, highlighting key drivers and risks
• Provide backup coverage for middle office functions, including trade capture, daily collateral management and cash management activities

WHAT WE REQUIRE:

• Authorized to work in Canada
• University degree in a quantitative discipline (math, statistics, engineering or economics) or business, post graduate degree
• FRM, PRM, CFA designation is preferred
• 5+ years related experience in a financial institution
• Practical knowledge of leading industry practice and regulatory expectations related to liquidity and market risk measurement and management
• Familiar with OSFI LAR, B12, E23, SMSB guidelines
• Deep knowledge of Balance Sheet cash flows, Asset and Liability management, derivative pricing models and valuation
• Experience in risk modelling/programming
• Proven ability to work both independently and collaboratively within a team environment
• Excellent written / verbal communication and professional maturity
• Strong technical skills in Bloomberg, Excel/VBA, Power BI, database and SQL.

PREREQUISITE: Maintain a positive supportive attitude, help to maintain an inclusive and supportive company culture!

WE ARE PROUD TO BE RECOGNIZED AS Great Place to Work® Canada for 2025 and
Montreal's Top Employers 2025 by Canada’s Top 100 Employers!

Learn more: https://www.fairstone.ca/en/about/canadian-lender

Follow us on LinkedIn: https://www.linkedin.com/company/fairstone/mycompany/

Full time

Job Type:

Permanent