BMO Financial Group Senior Manager, Structural Market Risk Analytics in Ontario, Canada
This role is responsible for development required to maintain best practice measurement and modelling of structural market risk for BMO FG. The Senior Manager, Structural Market Risk Analytics (Sr. Manager) is responsible for staying apprised of Asset Liability Management (ALM) and trading market risk industry best practices. The Sr. Manager ensures that structural balance sheet market risks are measured appropriately and provide support effective risk management. In addition the Sr. Manager partners with the risk and technology staff responsible for implementing 3rdparty ALM software (QRM) in order to ensure the software is optimized and fully leveraged for measurement of structural market risks. The Sr Manager is expected to become a QRM software subject matter expert in support of effective risk measurement and as part of risk management/hedging strategy development.
Responsibilities include: research and provide expertise on mathematical/financial theory and risk measurement methodology, recommend, develop, validate and implement models to ensure market risks within banking products are properly measured in support of effective risk management practices, recommend and implement effective hedging strategies to manage structural market risks. Other activities include providing expertise and advice to LOBs, the Model Validation group, the Market Risk group, Senior Management and other key stakeholders to ensure market risks in banking products are identified, understood, properly priced and measured, and in pursuance of obtaining buy-in, support and approval in order to execute timely implementation of effective market risk strategies. This role encompasses any delegated activity that contributes to the successful management of CT’s managed risks in a complex and rapidly changing business and market environment.
Business Delivery & Operational Effectiveness (Strategy)
Research industry best practices with respect to structural market risk modeling and methodology and recommend appropriate enhancements that support the long term strategic management of the Bank’s structural market risk.
Participate in the development and recommendation of enterprise wide structural market risk strategies to senior management.
Participate in the development of structural market risk policies, limits and guidelines.
Recommend, develop, validate, implement and obtain stakeholder approval for risk and valuation models and methodologies in support of best practice structural market risk measurement and management.
Monitor the financial market environment and trends of retail product volume and term preference for optimal execution of approved risk management strategies.
Change & Innovation (Advisory)
Recommend new risk metrics.
Advise Corporate Treasury management on industry best practice related to the measurement and management of structural market risk and asset liability practices.
Partner with risk/technology staff to manage the implementation of new risk measurement practices and metrics.
Provide expert advice and support within the Structural Risk Market Risk Management groups on risk measurement and modelling within the Quantitative Risk Management system.
Provide expert support in risk measurement and related quantitative analyses to other areas of the Bank.
Develop new hedging strategies for new Structural balance sheet products and assist in the development of new customer products.
Continuous improvement of efficiency of existing hedge programs, with a focus on minimizing volatility, operational risk, accounting risk, cost.
Provide expertise and advice to structural LOBs on changing market conditions, customer behaviours and the impacts to the market risks inherent in their products.
Advise Corporate Controllers and LOBs on funds transfer pricing polices to ensure appropriate risk-adjusted product pricing on retail and commercial products.
Recommend hedging programs to manage market risk related to the Bank’s securitization activities and embedded options in structural banking products.
Risk Management and Control (Governance and Analysis/Results)
Oversee the development and implementation of structural market risk models (e.g. valuation of embedded product options, customer behavioural models, VaR methodology etc.).
Obtain approval from Senior Management and stakeholders in order to implement various market risk measurement/modelling enhancements.
Support the Enterprise Market Risk group in their independent oversight of structural market risk.
Monitor market developments and assess impacts on structural market risk in order to make recommendations accordingly.
Develop and recommend the implementation of structural market risk models (e.g. valuation of embedded product options, customer behavioural models, VaR methodology etc.).
Recommend structural market risk hedging strategies under changing market environments.
Assist internal and external auditors and regulators with review and audit of structural market risk related policy, standards, hedging and processes.
Develop hedging programs and tools for the ongoing management of market risk arising from securitization and embedded options in structural banking products.
Back-test and stress-test models to ensure the on-going effectiveness of structural market risk, recommending changes as appropriate.
Analyze results of hedging programs and changes in product valuation and risk measures due to actual and stress-test market movements.
Responsible for obtaining Model Validation group approval for use of structural market risk models.
Obtain approval from Senior Management and stakeholders in order to implement various market risk strategies and hedging recommendations.
Improve and enhance operational efficiencies by building tools to automate and streamline processes.
Client & Relationship Management (Support)
Coach co-workers and support colleagues within Corporate Treasury regarding balance sheet dynamics, principles, risks and measurement of the Parent Bank’s structural market risk.
Provide leadership by assisting in the recruitment and training of junior staff members.
Maintain strong and effective working relationships with all groups within CT, the chief Account’s Group, Taxation, Controllers, Capital Markets, Enterprise Market Risk, Model Validation, Market Risk and Lines of Business in order to leverage the skills, knowledge and expertise of these groups and align and integrate goals and strategies. Level of interaction with these groups is high.
Provide LOBs with pricing information for embedded options in retail and commercial banking products which serves as the basis for customer product pricing.
Manage and support special projects and initiatives as required.
Key contacts: executives, directors and senior managers in LOBs, Enterprise Market Risk Group, Chief Accountant’s Group, Corporate Areas Finance, Capital Markets, Back Office, Model Validation, Enterprise Risk Management, Market Risk, internal and external auditors, and regulators.
KNOWLEDGE AND SKILLS:
BSc/B.Math in a quantitative field (Math, Stats or Engineering)/BA (Economics, Commerce), FRM or CFA with a PhD/Masters degree in quantitative Finance/Mathematics/Science/Engineering or equivalent work experience in quantitative finance.
9-11 years experience in one or several of capital markets, asset liability management, derivative pricing, and risk management, with exposure to one or more of the following: retail/commercial/corporate or investment banking.
In-depth knowledge of mathematical and statistical methodologies used in financial risk measurement (e.g. Monte Carlo methods, option valuation models, regression and calibration techniques etc.)
Sound knowledge of market conventions, hedging strategies and risk management.
Knowledge of best practices in quantitative modeling and experience with development and implementation of financial models.
Strong knowledge of programming languages and techniques.
Knowledge of Quantitative Risk Management (QRM) 3rdparty software.
Understanding of Bank structure, information and trading systems.
Excellent project and time management skills.
Excellent leadership and interpersonal skills, capable of maintaining effective working relationships with colleagues at all levels and leveraging resources across various areas of the bank.
Excellent communication skills, both verbal and written.
Superior analytical and financial modeling skills with the ability to quickly understand details of financial derivatives assess a variety of factors and recommend solutions for complex problems.
Ability to manage multiple tasks in fast paced and evolving environment and meet timelines without compromising the integrity of the information.
Ability to influence others to accomplish assigned tasks.
Comfort and experience dealing with executives.
Creative and conceptual thinker.
Ability to work independently.
Excellent organizational and analytical skills.
Forward thinker able to see the ‘big picture’, understand and communicate implications of recommended strategies or model changes to key stakeholders across the bank.
Strong organizational skills with the ability to manage projects and the flexibility to adapt to evolving and changing priorities.
Strong proficiency in Excel, and VBA or other programming languages.
Comfort and experience working with large data sets.
At our company, we have been helping our customers and communities for over 195 years. Working with us means being part of a team of talented and passionate individuals with a shared focus on working together to deliver great customer experiences. We stand behind your success with the support you need to turn your potential into performance.
To find out more visit our website at www.bmo.com/careers.
BMO Financial Group is committed to an inclusive, equitable and accessible workplace. By embracing diversity, we gain strength through our people and our perspectives. We welcome and encourage applications from people with disabilities. Accommodations are available on request for candidates taking part in all aspects of the selection process.
Finance and Accounting