Senior Manager, Structural Market Risk

Application Deadline:

05/29/2025

Address:

320 S Canal Street

Job Family Group:

Finance & Accounting

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

• Oversee and 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 QRM Architecture team, SMR Analytics & Reporting Production teams and model development team
  • 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; lead responses to oversight teams’ review and challenge

• Oversee 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
• Oversee and 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
• Lead 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 and 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

• Provides strategic input into business decisions as a trusted advisor.
• Makes recommendations to senior leaders on strategy and new initiatives, based on an in-depth understanding of the business/group.
• Acts as a subject matter expert on relevant regulations and policies.
• May network with industry contacts to gain competitive insights and best practices.
• Leads the design, implementation and management of core business/group processes.
• Develops the business case by identifying needs, analyzing potential options and assessing expected return on investment.
• Recommends business priorities, advises on resource requirements and develops roadmap for strategic execution.
• Manages resources and leads the execution of strategic initiatives to deliver on business and financial goals.
• Acts as the prime subject matter expert for internal/external stakeholders.
• Defines business requirements for analytics & reporting to ensure data insights inform business decision making.
• Designs and produces regular and ad-hoc reports, and dashboards.
• Leads change management programs of varying scope and type, including readiness assessments, planning, execution, evaluation and sustainment of initiatives.
• Coordinates the management of databases; ensures alignment and integration of data in adherence with data governance standards.
• Develops analytical solutions, models and methodologies used to manage risks related to the Bank’s portfolios and pr