Manager, Structural Market Risk

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Supports the research and development of quantitative risk modeling methodologies and related strategies in support of managing structural market risks arising from business/group portfolios and products. Develops and implements models to ensure market risk in banking products are properly measured and support effective risk management practices. Works with internal and external stakeholders to ensure market risks are properly identified and understood with supporting models and strategies successfully implemented. Area of focus will be bank products with a contractual maturity and embedded optionality.

Key Accountabilities

• Participate in the development and implementation of structural market risk (SMR) models (e.g. valuation of embedded product options, customer behavioral models, Earnings at Risk and economic valuation methodologies, etc.)
  • Liaise with lines of business and product owners to develop a full understanding of the terms and conditions of an existing or new product offering, including optionality provided to the customer, and customer behavior related to the optionality
  • Collaborate with other Corporate Treasury teams in the review and design of behavioral models to ensure they can be implemented efficiently in QRM across all relevant use cases (Structural Market Risk, Funds Transfer Pricing (FTP) and Planning/Forecasting)
  • Coordinate model implementation and testing among QRM Architecture team, SMR Analytics & Reporting Production teams and model development team
  • Develop and maintain robust model and non-model assumption documentation
  • Provide robust documentation of testing and impact analyses to Market Risk and Model Risk oversight teams; lead responses to oversight teams’ review and challenge

• Conduct and analyze back-testing, stress-testing and benchmarking to ensure the on-going effectiveness of structural market risk models, recommending changes as appropriate
• Ensure compliance with Bank Policies and Standards regarding financial models
• Lead the quantitative development and periodic review of structural market risk non-model assumptions that drive valuation and earnings estimates
• Participate in projects related to ongoing enhancement and optimization of the structural market risk measurement, reporting and risk management processes, including hedging strategies
• Lead responses to recommended improvements in models and non-model assumptions, as well as related structural market risk processes, from Market Risk, Model Risk, Internal or External Audit and regulators
• Provide structural market risk advice on FTP policies to ensure appropriate risk-adjusted product pricing on retail and commercial products
  • Develop quantitative analyses and/or processes that support components of the FTP rates and charges passed to the lines of business such as option costs and product prepayment rates and weighted average lives, etc.
  • Ensure alignment of assumptions and practices among core elements of Corporate Treasury Asset Liability Management: structural market risk, FTP and hedging strategies

• Develops and implements analytical solutions, models and methodologies used to manage risks related to the Bank’s portfolios and products (e.g. valuations; hedging strategies, customer behavior models, performance measurement, etc.)
• Monitors the financial market environment and model performance impacts.
• Ensures compliance with model risk and market risk governance.
• Researches industry best practices with respect to structural market risk modeling and methodology.
• Designs and produces regular and ad-hoc reports, and dashboards.
• Analyzes data and information to provide insights and recommendations.
• Works with various data owners to discover and select data from internal and external sources e.g. lending system, deposit system.
• Builds effective relationships with internal/external stakeholders and acts as a trusted advisor to assigned business/group.
• Influences and negotiates to achieve business objectives.
• Participates in the design, implementation and management of core business/group processes.
• Conducts independent analysis and assessment to resolve strategic issues; breaks down strategic problems and analyzes data and information to provide insights and recommendations.
• Helps determine business priorities and best sequence for execution of business/group strategy.
• Ensures alignment between stakeholders.
• Builds change management plans of varying scope and type; leads or participates in a variety of change management activities, including readiness assessments, planning, stakeholder management, execution, evaluation and sustainment of initiatives.
• Provides input to the planning & implementation of structural market risk data acquisition and reporting programs.
• Maintains operational procedures and processes and documents data flow, analytics and processes to improve efficiency; advances automation of processes.
• Manages databases and provides support for analysis, forecasting and/or data visualization, ensuring adherence with data governance standards.
• Broader work or accountabilities may be assigned as needed.

Qualifications:

• Previous experience in Asset Liability Management or Market Risk Management with a focus on Interest Rate Risk
• In-depth experience using the QRM Asset Liability Management Framework or similar software
• Previous experience implementing behavioral models in the QRM Framework or similar software
• Previous experience in fixed income, derivatives or loan valuation, including instruments with embedded options
• Knowledge of Funds Transfer Pricing best practices for bank products with embedded optionality
• Understanding of loan prepayment modelling and cash flow waterfalls from structured mortgage-backed securities and other asset-backed securities
• Strong knowledge of stochastic rate path valuation concepts
• Typically between 5-7 years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
• Professional designation in Finance or Risk management preferred.
• Advanced degree in Computer Science, Mathematics, Physics, Engineering, Statistics, or other quantitative disciplines and/or equivalent experience preferred.
• Strong knowledge of Excel, SQL, VBA and Python.
• Working experience in a Finance environment with exposure to one or more of the following: Risk management, financial market products and pricing, Balance Sheet / Asset Liability management.
• In-depth knowledge of quantitative modelling including understanding of statistics, risk and financial metrics.
• Deep knowledge and technical proficiency gained through extensive education and business experience.
• Verbal & written communication skills - In-depth.
• Analytical and problem-solving skills - In-depth.
• Influence skills - In-depth.
• Collaboration & team skills; with a focus on cross-group collaboration - In-depth.
• Data driven decision making - In-depth.

Salary:

Pay Type:

The above represents BMO Financial Group’s pay range and type.

Salaries will vary based on factors such as location, skills, experience, education, and qualifications for the role, and may include a commission structure. Salaries for part-time roles will be pro-rated based on number of hours regularly worked. For commission roles, the salary listed above represents BMO Financial Group’s expected target for the first year in this position.

BMO Financial Group’s total compensation package will vary based on the pay type of the position and may include performance-based incentives, discretionary bonuses, as well as other perks and rewards. BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans. To view more details of our benefits, please visit: https://jobs.bmo.com/global/en/Total-Rewards

About Us

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact.  We strive to help you make an impact from day one – for yourself and our customers.  We’ll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we’ll help you gain valuable experience, and broaden your skillset.

To find out more visit us at http://jobs.bmo.com/us/en

BMO is proud to be an equal employment opportunity employer. We evaluate applicants without regard to race, religion, color, national origin, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity, gender expression, transgender status, sexual stereotypes, age, status as a protected veteran, status as an individual with a disability, or any other legally protected characteristics. We also consider applicants with criminal histories, consistent with applicable federal, state and local law.

BMO is committed to working with and providing reasonable accommodations to individuals with disabilities. If you need a reasonable accommodation because of a disability for any part of the employment process, please send an e-mail to BMOCareers.Support@bmo.com and let us know the nature of your request and your contact information.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.