The OP said he could probably slot himself into a position at the same organization he's already at in New York.
Anyway, say the OP does land a finance job in Canada. As he is currently learning, the financial sector is much smaller there. In this market, a layoff is always a possibility--even without the OP's particular circumstances (why would you ever tell your boss you aren't planning on staying without an exit opportunity lined up. . .). Should he found himself laid-off in Canada, then what? It will be much harder to land somewhere else.
I didn't catch that first part. I thought he had expressed interest at doing so but it hadn't happened yet.
But the rest is a very good point.