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Senior Specialist, Model Risk Validation - Retail At BMO Financial Group

Location: Toronto, Ontario

Job Description

The role of this position is to assist to facilitate enterprise-wide management of model risk by improving the transparency and understanding of models required for vetting, products to which the models are applied, and the application of the models, so that the Bank is not subject to unjustified, undue and unidentified risks due to the use of these models. In particular, this role is to provide model risk validation services according to MV validation process, Model Risk Corporate Standard, Model Risk Guidelines and principles. Herein validation includes, validation of model framework, assumptions, data; benchmarking; providing analysis, findings, recommendation and conclusion; documentation of the items above in MV validation report.

A. Model Validation Projects (90%)

  • Propose vetting/validation strategy and plan with Sr. Manager for each vetting/validation project
  • Conduct model validation according to the MV validation process, policy, guidelines and principles. Validation activities include (but are not limit to) testing of models, justification of model framework and assumptions, benchmarking, comparison of results to model developer results, quantification of model risks, validation of models, documentation of vetting findings/conclusions, and communication with model developers/model owners/model users.
  • Produce the validation report according to standards and format including identification of model deficiencies/weaknesses, conditions for model use, recommendations for model use, and Level of Model Error
Potential and Model Risk Impact.
  • Ensure effective two-way communication with the Model Owners/Developers/Users set expectations, obtain and provide information on models, and communicate model risk issues and suggestions during the vetting process.
  • Ensure key information such as model review dates, conditions, and triggers is entered into the vetting database for follow-up and the database is kept up to date to reflect changing circumstances.
  • Provide regular project status updates to Sr. Manager and/or Director for tracking and monitoring validation projects.
B. Technical Input (5%)

  • Provide technical input to model developers and/or risk management groups in the development of models to proactively assist the Business resolve model risk issues.
  • Share knowledge of models and validation projects with other validators to ensure transfer of knowledge across MV.

C. Client Relationship Management (5%)

  • Develop and maintain effective relationships with the LoB client, LoB Risk Management group, and T&O to understand and complete the vetting request.
  • Escalate difficult or complex project-related client issues to Sr. Manager, Director or Project Manager for resolution.

Qualifications


Knowledge:

• Master degree or Ph.D degree in Math, Math Finance, Statistics, Engineering or equivalently strong quantitative
background.
  • Three years or more experience of quantitative modeling in the financial industry
  • Experience in Retail Credit Risk modeling, Basel II, Basel III, Capital Planning or stress testing is an asset
  • General knowledge of banking industry

Skills:

• Experience in SAS, SQL, Python/R, VBA programming preferred
• Developed project management and time management skills
  • Strong written skills
  • Solid and proven communication skills
  • Developed relationship management skills


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.

Job

Risk Management

Primary Location

Canada-Ontario-Toronto

Organisation

ERPM-X000073

Schedule

full-time

Job Posting

11/21/18

Unposting Date

Ongoing