Risk Analyst

We are looking for a Risk Analyst! Reach out if you are interested and feel free to refer friends/colleagues!

Type of Employment: Contract
Title: Risk Analyst
Term: Contract – 6 months with extension
Location: Toronto – Hybrid 3 days a week
Industry: Banking
Job ID number: 243

Daily Responsibilities:

Together with our Risk IT partners, we are building an application called Market Data and Scenario Service 2 (MDSS2), a next-generation market data and scenario engine. The daily responsibility of this role includes:

• Perform analysis on historical time series and shock scenarios of risk factors to ensure the risk can be properly captured and simulated. This includes a wide range of risk factors and product class, including IR, FX, EQ, credit, and commodity.
• Research and implement required configuration changes to the application to ensure the correct choice of market data source, region, and proxy is used for market risk calculation.
• Research business requirements and draft business requirement documents (BRDs) for new features of the application.
• Define test cases and carry out User Acceptance Testing (UAT) for new features of the application.
• Provide specifications to transform vendor market data feeds to standardized format.
• Carry out daily monitoring of market data feeds and shock scenario anomaly detection using statistical methods.
• Monitor the health and performance of the application and assist Risk IT partners for production incidents.
• Implement utilities and tools for carrying out daily work, primarily using Python.
• Support MDSS2 users by answering their questions and investigate any issue users report.

Project Details, if applicable:

• The program’s objective is to modernize the  risk management infrastructure to make it more performant and scalable.
• The application provides both historical and hypothetical scenarios to downstream PnL engines for simulating different market conditions. The PnL results is then used for guiding internal risk management and for trading/risk analysis. The application is built using Java + Spark distributed computing framework.

What program/technology/software knowledge is essential for this role? Describe in what capacity the selected candidate will be using it?

• Python – intermediate to advanced.
• SQL – intermediate
• Spark/PySpark/HDFS – good to have
• Linux/Unix shell script – working knowledge
• Git/GitHub – working knowledge
• Java/C++ – Good to have, but not required.

For the daily work of this role, the most used programming language is Python. On the business side, we use Python extensively to perform analysis on time series and shock data. We also use Python to develop utility scripts and libraries that help with our daily tasks.

• The configuration of the MDSS2 application is stored in a database. This role will also use SQL to view and to configure the application.
• The MDSS2 application itself is built using Java + Spark distributed framework. Having prior experience with distributed systems or working with Spark is a plus but is not required.
• The candidate should be comfortable working with Linux command line user interface. Prior experience with Unix shell script is a plus.
• Prior experience with version control systems such as Git/GitHub is a plus.

Must-have Skills/Experiences and/or Education, certifications, qualifications, designations:

• 0-2 years of experience with market risk, market data, or CCR, or CCAR.
• Intermediate level of proficiency with Python, SQL. Prior development experience with Python with a focus on financial applications is a plus.
• Master’s degree in financial engineering, statistics or equivalent. PhD in finance, engineering, or applied sciences
• Strong verbal communication skills
• High level of proficiency in technical writing
• Basic knowledge across capital market products and business
• Attention to detail

Nice-to-have Skills/Experience and/or Education, certifications, qualifications, designations:

• Strong quantitative skill and analytical skill is a plus
• Experience with financial market data across different asset classes
• Experience with developing application for financial institutions
• Experience with Agile framework and project management
• Comfortable working with Linux command-line user interface
• Prior experience with C++, Java, Spark/PySpark, HDFS, Unix shell script
• Prior experience with version control tools (e.g. Git/GitHub)

Soft Skills:

• Good communicator
• Able to communicate business and technical concepts to both business and IT stakeholders.
• Able to draft well-written technical documentation

Languages:

Please describe the level of proficiency required for each language (i.e. written, verbal, etc.)

English – Fluent

• High level of proficiency in technical writing
• Strong verbal skills, able to drive the discussion on business requirement.

Please describe the work environment:

Hybrid work arrangement: 3-4 days onsite per week + 1-2 days work-from-home (WFH)

Please specify the work address and floor (if onsite) or if they will work virtually:

Interview Process and Timelines:

• There will be two rounds of interviews. The interviews will be conducted in-person.
• First round (1 hour – 90 minutes) with manager and possibly another team member
• We will cover prior experience, domain knowledge, technical skill, and a small programming exercise.
• Second round (30 min – 1 hour) with Senior Director