This role is responsible for conducting Market Risk Analytics in the Asset and Liability Management (ALM) area to manage structural market risks for BMO Financial Group, with primary responsibilities: develop and report on interest rate risk, research and provide expertise on interest rate risk measurement methodology, recommend, develop, validate and implement market risk models to ensure 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 contributes to the successful management of Corporate Treasury's' managed risks in a complex and rapidly changing business and market environment.
KEY ACCOUNTABILITIES Improve and enhance operational efficiencies by building tools to automate and streamline processes. Investigate and analyze the market and business drivers underlying trends and variance in risk positions. Initiate execution of hedges for product specific hedging programs including mortgage commitment and redeemable GICs. Develop and recommend the implementation of structural market risk models (e.g. valuation of embedded product options, customer behavioural models, VaR methodology etc.). Develop hedging programs and tools for the ongoing management of market risk arising from embedded options in structural banking products. Perform back-test and stress-test 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 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.
Qualifications BSc in a quantitative field (Computer, Math, Stats or Engineering)/BA (Economics, Commerce), FRM or CFA with a good understanding of valuation of fixed income, derivatives and options. Knowledge and experience in capital markets, financial engineering, derivative pricing and risk management, with exposure to one or more of the following: retail/commercial/corporate or investment banking. Sound knowledge of financial market, banking and risk management. Strong computer programming and data management skills, e.g. Excel, VBA, SAS, C++, Database 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 work independently. Excellent organizational and analytical skills. Excellent verbal and written communication skills. Master degrees in quantitative MBA/Finance/Mathematics/Science/Engineering or equivalent work experience in quantitative finance preferred. Knowledge and experience of QRM is a bonus
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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.
Internal Number: 6280029
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