Market and Derivatives Credit Risk Analyst

Our bottom line is different.

There’s something special about working at ATB, and it’s been recognized on every top employer list that matters. Maybe it’s our exceptional culture where your total wellness is supported through market-leading benefits and you’re free to bring your whole self to work. Maybe it’s our commitment to a growth mindset and our unrelenting thirst for making it possible for fellow Albertans—even the ones who aren’t our clients.

Whatever it is, you won’t find a more genuine, driven and knowledgeable group of humans anywhere. We foster a culture of purpose, performance and possibilities. We engage with intense curiosity, and bring our whole selves to work, every day. We know it starts with people like you, so take a chance and start with us.
 

Job Number: REQ4060

System Title: Market Risk Manager 7

Location: Calgary preferred, possibility for the role to be performed in Edmonton or fully remote (hybrid options available)

Apply by: June 28, 2022

Paygrade: L-OTH
 

Reporting to the Director, Market Risk Group, the Risk Analyst will provide in-depth analysis and monitoring of ATB Capital Market’s derivatives business activities and assist with the execution of ATB Financials Board approved policies and related frameworks. The analyst will support second-line of defense risk monitoring and risk management for ATB’s derivatives portfolio and capital markets securities trading activities. The Analyst will also ensure compliance with regulatory best practices for financial derivatives, credit, and market risk.

As a Risk Analyst, you will find success based on your ability to contribute to the second line of defense function in the following areas:

• Derivatives risk management:
  • Subject matter expert for client mark to market valuation modelling that underpins derivative counterparty credit risk exposure monitoring and collateral management, and ensure sound processing of the mark to market activities
  • Work closely with the ATB Credit Risk and Business Risk groups to recommend derivative credit limits based on client hedging requirements or structured deals
  • Calculate, interpret, and monitor credit risk (PFE) associated with counterparty derivatives exposures. Monitor early warning indicators and apply best practice risk escalation.
  • Develop understanding of valuations models to conduct analysis and validation of credit risk model assumptions e.g. volatility, correlation, mean-reversion
  • Work closely with front office to analyze and accurately communicate to senior management the P&L relating to ATB Capital Markets derivatives trading activities
  • Conduct regular reviews of the Sales and FX Trading portfolios, and work with the Front Office team on any revisions required by the policy, frameworks, and guidelines documents, and maintain the portfolio integrity
  • Assess structure and pricing of client derivatives trades using third-party platform to review accuracy of derivatives portfolio profitability and risk
  • Conduct risk reviews evaluating derivative transactions including structured, non-standard, and new products across commodities, interest rates, and foreign exchange products
  • Ad-hoc projects including scenario analysis and implementation of derivatives credit risk platform process enhancements
• Market Risk and Governance: Market risk position monitoring against risk metrics (VaR) and limits (including position and greeks); liaising closely with the front office to understand strategy, exposures, and risk utilization
  • Support ATB Financials governance framework; assist Market Risk group’s ongoing best practices implementation with respect to the second line of defense risk measurement and monitoring of Financial Markets Group derivatives credit risk, market risk and P&L measurement and monitoring
• Embrace technology to streamline risk and product control management processes using data analytics
• Enhance and develop key risk indicator visualizations to stakeholders and decision makers (including the ATB Financial senior leadership team); monthly ALCO, quarterly Board Risk Appetite and financial MD&A

Requirements

• As the ideal candidate you possess:
  • 3-5+ years experience in Financial Services; eg: Front Office Risk/Trade Support, Middle-Office / Product Control, or Settlements area covering derivatives
  • Aptitude for learning demonstrated with a undergraduate STEM or Business degree supplemented with, or pursuing, post graduate degree and/or certifications (FRM, PRM, CFA)
  • A keen interest in financial markets and risk management demonstrating the following attributes:
    • Good understanding of macroeconomic and political developments and their impact on financial markets; clear understanding of interdependencies between different asset classes, especially how these may change in a market stress
    • Familiarity with quantitative risk modeling approaches, model documentation, model development, and statistical methods
    • Strong communication skills including visualization and dashboarding proficiency for senior leadership and governance audiences
  • Strong product knowledge in OTC derivatives markets (e.g. commodities, interest rate, FX, or credit derivatives) and hedging structures
  • Knowledge of derivatives credit risk exposure metrics and methodology including Potential Future Exposure (PFE) and familiarity with risk monitoring platforms (e.g. Murex)
  • Experience with model development, data analytics, and programming languages (Excel/ Google Sheet, SAS, VBA, Tableau, Python, SQL etc.)

At ATB, we know that as you develop in your career, you gain many transferable skills. If you believe your experience and qualities are a match for this position, please consider applying.

Be great. Be you. Believe.

We are dedicated to building a workforce reflective of the diversity within our communities and creating an environment where every team member has what they need to reach their potential. We encourage candidates from all equity-seeking groups to apply.

What happens next?

Thank you for applying online. If you are shortlisted for this opportunity, you will hear from us after the posting close date regarding next steps. We might ask you to participate in a digital interview or phone interview. If you require any accommodations, please let us know.

All ATB Financial team members are required to disclose their vaccination status and provide proof of vaccination as a condition of employment to help support client and team member safety.

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