Senior Manager, Structural Market Risk

BMO Financial Group - Toronto, ON (21 days ago)

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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 and effective market risk models and strategies are successfully implemented.

Manage budget for the Treasury group, and reporting and analytics of Treasury revenue associated with hedging, investment and risk management.

Manage the enterprise process of Prime rate change in response to central bank interest rate policy.

Work with the business to review, approve and report deposit funding activities in the broker channel as part of the bank’s strategic funding initiative.

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, analysing 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.
Oversees development and implementation of structural market risk models (e.g. valuation of embedded product options, customer behavioural models, VaR methodology etc.).

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

Ensures compliance with Bank Policies and Standards regarding financial models.

Develops analytical solutions, models and methodologies used to manage risks related to the Bank’s portfolios and products e.g. valuations; hedging strategies, customer behaviour models, performance measurement, etc.

Monitors the financial market environment and model performance impacts for optimal execution of risk strategies.

Provides advice and guidance to assigned business/group on analytical solutions, business initiatives and market risk mitigation strategies.

Ensures compliance with model risk and market risk governance and provides financial instrument transaction oversight.

Works closely with businesses and corporate partners to perform enterprise wise stress testing of the bank’s Net Interest Income in support of capital adequacy assessment.

Performs analytics and reporting of economic and P&L performance of Corporate Treasury as a result of its hedging, investment and funding activities.

Provides advice and guidance to assigned business/group on implementation of analytical solutions.
Supports the execution of strategic initiatives in collaboration with internal and external stakeholders.

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

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

Monitors and tracks changes to position and component risk metrics over reporting periods; addresses and / or escalates any issues.

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, payment system, external credit rating system.

Applies scripting / programming skills to assemble source data into structured datasets with multiple levels of granularities e.g., demographics, customers, products, transaction.

Develops analytical solutions by applying suitable statistical techniques e.g., A/B testing, mathematical models, algorithms, machine learning to test, verify, refine hypotheses.

Collaborates with internal and external stakeholders to deliver on business objectives including third party suppliers.

Builds effective relationships with internal/external stakeholders.

Supports change management of varying scope and type; tasks typically focused on execution and sustainment activities.

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

Documents data flow, systems and processes in data collection to improve efficiency; advances automation of processes.

Maintains operational procedures and processes relating to data acquisition, analytical and reporting processes.

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

Operates at a group/enterprise-wide level and serves as a specialist resource to senior leaders and stakeholders.

Applies expertise and thinks creatively to address unique or ambiguous situations and to find solutions to problems that can be complex and non-routine.

Implements changes in response to shifting trends.

Broader work or accountabilities may be assigned as needed.


Typically 7+ years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
Professional designation in Finance or Risk management preferred.
Advanced degree in Computer Science, Mathematics, Physics, Engineering, Statistics, or other quantitative disciplines and/or equivalent experience preferred.
Strong knowledge of Excel, Access, SQL, VBA.
Working experience in a Finance environment with exposure to one or more of the following:
Risk management, financial market products and pricing, Balance Sheet / Asset Liability management.
In-depth knowledge of quantitative modelling including understanding of statistics, risk and financial metrics.
Seasoned professional with a combination of education, experience and industry knowledge.
Verbal & written communication skills - In-depth / Expert.
Analytical and problem solving skills - In-depth / Expert.
Influence skills - In-depth / Expert.
Collaboration & team skills; with a focus on cross-group collaboration - In-depth / Expert.
Able to manage ambiguity.
Data driven decision making - In-depth / Expert.

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.

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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.


Job Treasury
Primary Location Canada-Ontario-Toronto
Organisation Finance-X000074
Schedule full-time
Job Posting 11/15/19
Unposting Date 11/30/19