This role is responsible for carrying out any business activity, as delegated, that is conducted by the Market Risk Research and Development group in the ALM area to manage structural market risks for BMO FG, with primary responsibilities: research and provide expertise on mathematical theory and risk measurement methodology, recommend, develop, validate and implement models to ensure market risks in banking products are properly measured in support of effective risk management practices, recommend and implement effective hedging strategies to manage market risk arising from embedded options in structural products. Other activities include providing expertise and advice to Line of Business (LOBs) s, Model Risk Vetting, 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 is involved in model governance operations including on-going model performance monitoring, model inventory management, and model implementation. This role encompasses any delegated activity or innovation that contributes to the successful management of Corporate Treasury’s’ managed risks in a complex and rapidly changing business and market environment.
The incumbent will have the opportunity to get involved in a wide range of activities listed below with the focus on market risk analytics and operations, research and development, modeling and governance.
Business Delivery & Operational Effectiveness (Strategy)
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.
Research industry best practices with respect to structural market risk modeling and methodology and recommend enhancements that support the long term strategic management of the Bank’s structural market risk
Recommend and implement hedging strategies to manage market risk related to embedded options in Structural banking products.
Recommend, develop, validate, implement and obtain stakeholder approval for valuation models and methodologies to support the successful implementation of hedge accounting strategies critical to the successful ongoing management of the market risk in the Bank’s balance sheet.
Liaise with LOBs to recommend strategies to model and prudently deploy core deposits in order to minimize sensitivity to market conditions while enhancing the Bank’s sustainable earnings.
Monitor the financial market environment and trends of retail product volume and term preference for optimal execution of approved risk management strategies.
Initiate execution of hedges for product specific hedging programs including mortgage commitment and redeemable GICs.
Change & Innovation (Advisory)
Provide expert advice and support within the Structural Risk Market Risk Management groups on risk measurement and modelling of 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 embedded options in structural banking products.
Provide LOBs and Senior Management with buy/sell/hold hedge recommendations on an ongoing basis to ensure market risks are managed within approved limits corresponding to Corporate Treasury’s mandate.
Risk Management and Control (Governance and Analysis/Results)
Report structural risk positions pertaining to Structural embedded product option portfolios to executive management and the Bank’s risk oversight committees.
Investigate and analyze the market and business drivers underlying trends and variance in risk positions.
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.).
Perform model governance operations including on-going model performance monitoring, model inventory management, and model implementation
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 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 Risk Vetting 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, CAG, Controllers, Back Office, Capital Markets, Enterprise Market Risk, Model Risk Vetting 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.
Regularly 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, Financial Strategy, Chief Accountant’s Group, Corporate Areas Finance, Enterprise Market Risk, Capital Markets, Back Office, Model Risk Vetting, Enterprise Risk Management, internal and external auditors, regulators.
BSc/B.Math in a quantitative field (Math, Stats or Engineering)/BA (Economics, Commerce), FRM or CFA with a Masters degree in quantitative Finance/Mathematics/Science/Engineering or equivalent work experience in quantitative finance.
E xperience in one or several of capital markets, financial engineering, 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 engineering (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.
Understanding of Bank structure, information and trading systems.
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.
Solid leadership and interpersonal skills, capable of maintaining effective working relationships with colleagues at all levels and leveraging resources across various areas of the bank.
Forward thinker able to see the ‘big picture’, understand and communicate implications of recommended strategies or model changes to key stakeholders across the bank
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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.