Market and Liquidity Risk Analyst

Roles & Responsibilities

  • Perform and review annual Internal Capital Adequacy Assessment Process (ICAAP) to ensure the bank’s robust capital management and assess its adequacy in accordance with Office of Superintendent of Financial Institutions (OSFI).
  • Perform periodic stress testing to estimate the impact of various economic shocks on the bank’s performance and capital adequacy related to Liquidity Risk, Credit Concentration risk and interest rate risk.
  • Support to design and perform forward looking-based PD, LGD determination with macroeconomic factors in the market with statistical regression model on an annual basis.
  • Track data adequacy provided by 1st line to ensure the risk management control is right in place.
  • Perform the oversight of 1st line’s measuring and reporting activities of a regulatory reporting to Office of Superintendent of Financial Institutions (OSFI) such as Basel Capital Adequacy Requirement (BCAR), Liquidity Coverage Ratio (LCR) and Net Cumulative Cash Flow (NCCF).
  • Present findings and analysis results to reporting Manager, CRO and senior management as needed.
  • Perform periodic risk assessments and monitor the adequacy of risk limits or threshold related to the liquidity market & interest risk.
  • Perform annual pillar 3 public disclosure to provide the bank’s financial data to external stakeholders related to risk-based statements.
  • Perform monthly validation on FX swap transactions for the adequacy of its price.
  • Coordinate risk-based indicator monitoring reports to the CRO, senior management, Risk Management Committe (RMC), Assets and Liabilities Management Committee (ALCO), Parent bank, and regulatory bodies as needed.

Skills & Qualifications

Bachelor’s degree in finance, accounting or risk management-related required.

  • 3-5 years of experiences in financial service industry is considered an asset.
  • Demonstrated analytical thinking to solve complex problems.
  • Knowledge of capital markets concepts like Interest Rate securities etc.
  • Proficiency in Excel, data structuring and data analytics (Python, SQL).
  • Strong research and communication skills.
  • Strong time management and ability to handle multiple projects.

Job Types: Full-time, Permanent

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