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Supports the research and development of quantitative risk modeling methodologies and related strategies in support of managing structural market risks arising from business/group portfolios and products. Develops and implements models 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. Area of focus will be bank products with a contractual maturity and embedded optionality.

Key Accountabilities

• Participate in the development and implementation of structural market risk (SMR) models (e.g. valuation of embedded product options, customer behavioral models, Earnings at Risk and economic valuation methodologies, etc.).

• Liaise with lines of business and product owners to develop a full understanding of the terms and conditions of an existing or new product offering, including optionality provided to the customer, and customer behavior related to the optionality.

• Collaborate with other Corporate Treasury teams in the review and design of behavioral models to ensure they can be implemented efficiently in QRM across all relevant use cases (Structural Market Risk, Funds Transfer Pricing (FTP) and Planning/Forecasting).

• Coordinate model implementation and testing among key stakeholders.

• Develop and maintain robust model and non-model assumption documentation.

• Provide robust documentation of testing and impact analyses to Market Risk and Model Risk oversight teams; respond to oversight teams’ review and challenge.

• Conduct and analyze back-testing, stress-testing and benchmarking to ensure the on-going effectiveness of structural market risk models, recommending changes as appropriate.

• Ensure compliance with Bank Policies and Standards regarding financial models.

• Participate in the quantitative development and periodic review of structural market risk non-model assumptions that drive valuation and earnings estimates.

• Participate in projects related to ongoing enhancement and optimization of the structural market risk measurement, reporting and risk management processes, including hedging strategies.

• Prepare analyses and responses to recommended improvements in models and non-model assumptions, as well as related structural market risk processes, from Market Risk, Model Risk, Internal or External Audit and regulators.

• Provide structural market risk advice on FTP policies to ensure appropriate risk-adjusted product pricing on retail and commercial products.

• Develop quantitative analyses and/or processes that support components of the FTP rates and charges passed to the lines of business such as option costs, product prepayment rates and weighted average lives, etc.

• Ensure alignment of assumptions and practices among core elements of Corporate Treasury Asset Liability Management: structural market risk, FTP and hedging strategies.

• Develops and implements 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 the financial market environment and model performance impacts.

• Ensures compliance with model risk and market risk governance.

• Researches industry best practices with respect to structural market risk modeling and methodology.

• Designs and produces regular and ad-hoc reports, and dashboards.

• Analyzes data and information to provide insights and recommendations.

• Works with various data owners to discover and select data from internal and external sources e.g. lending system, deposit system.

• Builds effective relationships with internal/external stakeholders and acts as a trusted advisor to assigned business/group.

• Influences and negotiates to achieve business objectives.

• Participates in the design, implementation and management of core business/group processes.

• Conducts independent analysis and assessment to resolve strategic issues; breaks down strategic problems and analyzes data and information to provide insights and recommendations.

• Helps determine business priorities and best sequence for execution of business/group strategy.

• Ensures alignment between stakeholders.

• Provides input to the planning & implementation of structural market risk data acquisition and reporting programs.

• Maintains operational procedures and processes and documents data flow, analytics and processes to improve efficiency; advances automation of processes.

• Manages databases and provides support for analysis, forecasting and/or data visualization, ensuring adherence with data governance standards.

• Broader work or accountabilities may be assigned as needed.

Qualifications:

• Previous experience in a Finance environment with exposure to Asset Liability Management or Market Risk Management with a focus on Interest Rate Risk

• Demonstrated experience using the QRM Asset Liability Management Framework or similar software.

• Previous experience implementing behavioral models in the QRM Framework or similar software.

• A combination of previous experience with some or all of the following preferred:  

  • Experience in fixed income, derivatives or loan valuation, including instruments with embedded options.

  • Knowledge of Funds Transfer Pricing best practices for bank products with embedded optionality

  • Understanding of loan prepayment modelling and cash flow waterfalls from structured mortgage-backed securities and other asset-backed securities

  • Knowledge of stochastic rate path valuation concepts

• Typically between 4-6 years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.

• Degree in Finance, Computer Science, Economics, Financial Engineering or Risk Management or other quantitative disciplines and/or equivalent experience preferred.

• Strong knowledge of Excel, SQL, VBA and Python.

• Knowledge of quantitative modelling including understanding of statistics, risk and financial metrics.

• Technical proficiency gained through education and/or business experience.

• Verbal & written communication skills - In-depth.

• Analytical and problem-solving skills - In-depth.

• Influence skills - In-depth.

• Collaboration & team skills; with a focus on cross-group collaboration - In-depth.

• Data driven decision making - In-depth.

Salaire :

Type de rémunération :

Ce qui précède représente la fourchette et le type de rémunération de BMO Groupe financier.

Les salaires varieront en fonction de facteurs comme l’emplacement, les compétences, l’expérience, les études et les qualifications pour le poste et pourront inclure une structure de commissions. Les salaires pour les postes à temps partiel seront calculés au prorata du nombre d’heures travaillées régulièrement. Pour les rôles à commission, le salaire susmentionné représente la cible de BMO Groupe financier pour la première année au poste.

La rémunération totale offerte par BMO variera selon le type de rémunération associé au poste et peut comprendre des primes de rendement, des primes discrétionnaires ainsi que d’autres avantages et récompenses. BMO offre également une assurance santé, le remboursement des frais de scolarité, une assurance accident et une assurance vie, ainsi que des régimes d’épargne-retraite. Pour en savoir plus sur nos avantages sociaux, consultez le site : https://jobs.bmo.com/ca/fr/R%C3%A9mun%C3%A9ration-globale

À propos de nous

À BMO, nous sommes animés par une raison d’être commune : Avoir le cran de faire une différence dans la vie, comme en affaires. Cette raison d’être nous invite à entraîner des changements positifs et durables pour nos clients, nos collectivités et nos gens. En travaillant ensemble, en innovant et en repoussant les limites, nous transformons des vies et des entreprises et favorisons la croissance économique partout dans le monde.

En tant que membre de l'équipe de BMO, vous êtes valorisé, respecté et entendu, et vous avez plus de moyens pour progresser et obtenir des résultats. Nous nous efforçons de vous aider à obtenir des résultats dès le premier jour, pour vous-même et nos clients. Nous vous offrirons les outils et les ressources dont vous avez besoin pour franchir de nouvelles étapes, car vous aidez nos clients à franchir les leurs. Au moyen de formation et de coaching approfondis ainsi que de soutien de la direction et d'occasions de réseautage, nous vous aiderons à acquérir une expérience enrichissante et à élargir votre groupe de compétences.

Pour en savoir plus, visitez-nous à l'adresse https://jobs.bmo.com/ca/fr.

BMO s'engage à offrir un milieu de travail inclusif, équitable et accessible. Nous apprenons de nos différences et tirons notre force des gens et de leurs différents points de vue. Des mesures d’adaptation sont disponibles sur demande pour les candidats qui participent à tous les aspects du processus de sélection. Pour demander des mesures d’adaptation, veuillez communiquer avec votre recruteur.

Remarque aux recruteurs : BMO n’accepte pas les curriculum vitæ non sollicités provenant de toute source autre que le candidat directement. Tout curriculum vitæ non sollicité envoyé à BMO, directement ou indirectement, sera considéré comme la propriété de BMO. BMO ne paiera aucuns frais pour les placements découlant de la réception d’un curriculum vitæ non sollicité. Une agence de recrutement doit d’abord détenir une entente de service écrite valide et dûment signée avant d’envoyer des curriculum vitæ.