Application Deadline:

09/06/2024

Address:

250 Yonge Street

Job Family Group:

Data Analytics & Reporting

General accountabilities: 

• The candidate will focus on counterparty credit risk measures (PFE, settlement, collateral knowledge) critical to business decisions. The candidate will develop and improve key processes related to assessing and reporting risk measures and establish and maintain productive relationships with the lines of business (trading, risk oversight, portfolio management, and upper management).
• Applies knowledge of analytics algorithms and technologies to maintain forward-looking models and analytic solutions to identify risks properly.
• Supports the research and development of quantitative risk modelling methodologies and related strategies to manage risks arising from business/group portfolios and products.

Specific accountabilities: 

• Liaise with trading, line of business, risk oversight, infrastructure, model team and operations to ensure proper deal understanding and resolve any specific deal-related problems.
• Propose and implement changes to facilitate new business.
• Provide assistance, guidance and management in ad-hoc projects/trading requests within the group.
• Lead the impact analysis of quarterly calibration.
• Calculate counterparty credit risk on non-standard deals with unique features on time.
• Create business specifications, develop system implementation, and monitor implementation against agreed timelines.

CROSS-FUNCTIONAL RELATIONSHIPS:

• T&O project managers and business analysts;
• Corporate Risk Management directors and managers;
• LoB
• Credit Portfolio Managers and Account Managers
• External system software vendors

   

ROLE DIMENSIONS:

This role has direct or indirect impact on the following financial measures:

• Counterparty credit risk exposure measurements;
• Economic and regulatory capital.

KNOWLEDGE AND SKILLS:

Describe the knowledge and skills required for successful performance.  Refer to the Role Definition Guide for definitions.

Knowledge:

• Quantitative (mathematical and/or statistical and/or computer science)
• Finance;
• Economics;
• Financial markets and products;
• Programming – Proficient with Python.
• Understanding and experience with risk management methodologies and measurement systems.

Skills:

• 3 and up years of related work experience, preferably in a financial institution
• Excellent oral and written communication skills
• MSc in a technical field, i.e., statistics, engineering, applied mathematics
• Excellent analytic and troubleshooting skills
• Ability to meet deadlines
• Good understanding and experience with risk management methodologies, financial markets and products
• Ability to work in teams
• FRM and/or CFA is an asset.

Applies mathematical and statistical methods to financial and risk management problems (e.g. internal controls; enterprise-wide stress testing and scenario analysis; capital modelling; valuations). Through quantitative analytical modelling, identifies important factors to consider for financial disaster and recovery plans. Conducts research and creates tools that use data to develop scenario-based planning and implements complex mathematical models to help the business make better financial and financial decisions (e.g. investments, pricing, etc.), drive innovation and minimize the impact of uncertainty.

• Develops pricing and quantitative risk models for an assigned portfolio e.g. fixed income, corporate credit and loans.
• Monitors risk in strategies and portfolios alongside project managers or functional leads.
• Conducts research and develops tools that use data to make better financial decisions; such as: investments, pricing, etc.
• Applies knowledge of risk assessment and controls along with extensive understanding of industry compliance standards and regulations.
• Identifies ways of mitigating potential risks; recommends and implements solutions based on analysis of issues and implications for the business.
• Documents data flow, systems and processes to improve the design, implementation and management of business/group processes.
• Conducts quantitative research in risks across strategies and portfolios.
• Focus is primarily on business/group within BMO; may have broader, enterprise-wide focus.
• Provides specialized consult