Manager, Structural Market Risk

BMO•Chicago, IL

2d•Hybrid

About The Position

Support the analytics of the bank’s structural balance sheet to ensure interest rate risk is properly measured and monitored and risk drivers are well understood and explained to various stakeholders including senior management and external stakeholders. Support the execution of the attribution of interest rate risk by various risk drivers. Designs dashboards and analyses to be performed, and appropriate visualization and analytics tools to use. Understands the analytical results and be able to make recommendations as well as able to implement the right assumptions for various banking products to ensure best practice of modeling for risk associated with these products. Develops documentation to support processes, assumptions and models. Works with other risk, data and analytics professionals to optimize, refine, automate and scale analysis into repeatable analytics solutions and decision support tools, 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. This is a hybrid position, requiring a minimum of 2-3 days per week in office. Develops 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 and tracks changes to position and component risk metrics over reporting periods; addresses and / or escalates any issues. Builds various reporting dashboards using the most appropriate data extraction, data cleaning and data visualization techniques. Analyzes data and information to provide insights and recommendations. Applies suitable statistical techniques to perform analysis e.g., A/B testing, mathematical models, algorithms, machine learning to test, verify, refine hypotheses. Documents data flow, systems and processes in data collection to improve efficiency; advances automation of processes. Recommends and implements solutions based on analysis of issues and implications for the business. Identifies emerging issues and trends to inform decision-making. Supports the execution of strategic initiatives in collaboration with internal and external stakeholders. Conducts independent analysis and assessment to resolve strategic issues. Ensures alignment between stakeholders. Breaks down strategic problems, and analyses data and information to provide insights and recommendations. Coordinates the management of databases; ensures alignment and integration of data in adherence with data governance standards. Provides input to the planning & implementation of structural market risk data acquisition and reporting programs. Maintains operational procedures and processes relating to data acquisition, analytical and reporting processes. Monitors the financial market environment and model performance impacts for optimal execution of risk strategies. Ensures compliance with model risk and market risk governance and provides financial instrument transaction oversight. Performs analytics and reporting of economic and P&L performance of Corporate Treasury as a result of its hedging, investment and funding activities. Researches industry best practices with respect to structural market risk modeling and methodology. Works with various data owners to discover and select data from internal and external sources e.g. lending system, payment system, external credit rating system. Applies scripting / programming skills to assemble source data into structured datasets with multiple levels of granularities e.g., demographics, customers, products, transaction. Collaborates with internal and external stakeholders to deliver on business objectives including third party suppliers. Participates in the design, implementation and management of core business/group processes. Focus is primarily on business/group within BMO; may have broader, enterprise-wide focus. Provides specialized consulting, analytical and technical support. Exercises judgment to identify, diagnose, and solve problems within given rules. Works independently and regularly handles non-routine situations. Broader work or accountabilities may be assigned as needed.

Requirements

Typically between 3 - 7 years of relevant experience and post-secondary degree in Finance or related field of study or an equivalent combination of education and experience.
Strong knowledge of Excel, SQL, Power BI.
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.
Collaboration & team skills - In-depth.
Analytical and problem solving skills - In-depth.
Influence skills - In-depth.
Data driven decision making - In-depth.

Nice To Haves

Professional designation in Finance or Risk management preferred.
Experience with Quantitative Risk Management (QRM) framework preferred.

Responsibilities

Support the analytics of the bank’s structural balance sheet to ensure interest rate risk is properly measured and monitored and risk drivers are well understood and explained to various stakeholders including senior management and external stakeholders.
Support the execution of the attribution of interest rate risk by various risk drivers.
Designs dashboards and analyses to be performed, and appropriate visualization and analytics tools to use.
Understands the analytical results and be able to make recommendations as well as able to implement the right assumptions for various banking products to ensure best practice of modeling for risk associated with these products.
Develops documentation to support processes, assumptions and models.
Works with other risk, data and analytics professionals to optimize, refine, automate and scale analysis into repeatable analytics solutions and decision support tools, 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.
Develops 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 and tracks changes to position and component risk metrics over reporting periods; addresses and / or escalates any issues.
Builds various reporting dashboards using the most appropriate data extraction, data cleaning and data visualization techniques.
Analyzes data and information to provide insights and recommendations.
Applies suitable statistical techniques to perform analysis e.g., A/B testing, mathematical models, algorithms, machine learning to test, verify, refine hypotheses.
Documents data flow, systems and processes in data collection to improve efficiency; advances automation of processes.
Recommends and implements solutions based on analysis of issues and implications for the business.
Identifies emerging issues and trends to inform decision-making.
Supports the execution of strategic initiatives in collaboration with internal and external stakeholders.
Conducts independent analysis and assessment to resolve strategic issues.
Ensures alignment between stakeholders.
Breaks down strategic problems, and analyses data and information to provide insights and recommendations.
Coordinates the management of databases; ensures alignment and integration of data in adherence with data governance standards.
Provides input to the planning & implementation of structural market risk data acquisition and reporting programs.
Maintains operational procedures and processes relating to data acquisition, analytical and reporting processes.
Monitors the financial market environment and model performance impacts for optimal execution of risk strategies.
Ensures compliance with model risk and market risk governance and provides financial instrument transaction oversight.
Performs analytics and reporting of economic and P&L performance of Corporate Treasury as a result of its hedging, investment and funding activities.
Researches industry best practices with respect to structural market risk modeling and methodology.
Works with various data owners to discover and select data from internal and external sources e.g. lending system, payment system, external credit rating system.
Applies scripting / programming skills to assemble source data into structured datasets with multiple levels of granularities e.g., demographics, customers, products, transaction.
Collaborates with internal and external stakeholders to deliver on business objectives including third party suppliers.
Participates in the design, implementation and management of core business/group processes.
Provides specialized consulting, analytical and technical support.
Exercises judgment to identify, diagnose, and solve problems within given rules.
Works independently and regularly handles non-routine situations.