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Manager, Valuation Product Control At BMO Financial Group

Location: Toronto, Ontario

Job Description

In connection with the Capital Markets trading and underwriting portfolios, the Manager is responsible for ensuring that valuations for these portfolios are materially accurate and where appropriate, that valuation adjustments and reserves are established. In meeting this objective the Manager will review, assess, and make recommendations with respect to the appropriate use of valuation models, identify official sources of market data used for valuation, and have overall responsibility for independent price verification. In executing these activities the Manager will manage relationships across the organization including the lines of business, Model Risk and Vetting, Finance, Back Office, and Accounting Policy
  • Promote best practices for valuation of CVA/XVA as applied to all derivative portfolios
  • Develop, maintain, and improve CVA/XVA procedures in compliance with GAAP and regulatory requirements.
  • Document and maintain methodologies and procedures for the credit and funding valuation adjustment (CVA/XVA).
  • Monitor models to ensure the mathematical representation of the market is sound on an on-going basis. This will involve assessing the performance of models in the markets in which they are used:
    to better understand model limitations;
    to quantify the effect of limitations given typical market conditions; and
    to perform model stress tests, as required, to assess the effect of extreme market conditions on the model’s performance and accuracy
  • Maintain the list of recommended market data sources used for mark to market or mark to model valuation and document changes to market data sources.
  • Maintain communication between the lines of business and Model Validation (MV) regarding the development of new models or changes in the application of existing models, to facilitate the involvement of MV early in the development process. This includes reviewing documentation, testing model assumptions and data requirements prior to the model being vetted, and advising the lines of business and MV of any clear deficiencies.
  • Monitor the use of models for consistency with data requirements and limitations identified by MV, the line of business, and/or VPC and advise the lines of business and other stakeholders if a model is being used under a condition that is contraindicated.
Be proactive in identifying issues and proposing and implementing solutions.

Qualifications

  • 3 to 5 years of related work experience, preferably in a financial institution.
  • Excellent understanding of derivative products and markets, as well as the valuation and risk management methodologies associated with these.
  • Strong analytic and problem solving skills.
  • Solid understanding of accounting principles, finance accountabilities, and back office processes would be an asset.
  • Solid quantitative skills.
  • Strong oral and written communication skills.
  • Strong interpersonal skills and ability to function effectively within a team.
  • Ability to prioritize multiple tasks and consistently meet deadlines while paying attention to details.
  • Graduate degree in business, finance, or a quantitative field would be an asset
We’re here to help

At BMO we have a shared purpose; we put the customer at the centre of everything we do – helping people is in our DNA. For 200 years we have thought about the future—the future of our customers, our communities and our people. We help our customers and our communities by working together, innovating and pushing boundaries to bring them our very best every day. Together we’re changing the way people think about a bank.

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 https://bmocareers.com .

BMO is committed to an inclusive, equitable and accessible workplace. By learning from each other’s differences, we gain strength through our people and our perspectives. Accommodations are available on request for candidates taking part in all aspects of the selection process. To request accommodation, please contact your recruiter.

Job

Financial Planning & Analysis

Primary Location

Canada-Ontario-Toronto

Organisation

Finance-X000074

Schedule

full-time

Job Posting

06/04/19

Unposting Date

Ongoing