Specialist- Risk Modelling & Analytics

MANDATE:

The Specialist- Risk Modeling and Analytics is accountable for supporting the implementation of methodology enhancements used for quantifying market, derivative counterparty and traded credit risks in trading and underwriting portfolios so that the accuracy and reliability of risk measures and consequent business decisions reliant upon these data are enhanced. The role supports team members, performs research and contributes to day-to-day relationships with clients, who may be within Market Risk, Lines of Business, Technology & Solutions and creates required documentation in line with existing standards to ensure trade attributes and market data are captured and mapped correctly for pricing and counterparty credit risk calculation.

Key Accountabilities For This Role

Risk Methodologies

• Supports the team in various tasks as needed.
• Contributes to change management activities related to model and methodology issues that expose the Bank to unusual, inappropriate or otherwise not fully identified or quantified traded credit and market risks
• Participates in the model documentation process and ensures all documentation is in line with corporate standards
• Supports the activities related to data requirements for the development of internal models for market and counterparty credit risk management, regulatory and economic capital calculation
• Supports the analysis of market data for revisions to risk factors and/or market model parameters for market and derivative counterparty risk applications
• Supports the development of methodologies used for quantifying market, derivative counterparty and traded credit risks in trading and underwriting portfolios based on best practices and regulatory requirements
• Contributes to relationships and timelines in day-to-day relationships with clients

Communication

• Participate in training to acquire the proper expertise related to processes involved in risk quantification
• Participate in discussions with business managers and other stakeholders to understand objectives, supports activities to translate business requirements into development tasks
• Maintain effective communication with management, peers and stakeholders
• Establish relationships with managers to ensure own understanding of material risks and to assist them in making decisions
• Reports to the Director, Risk Models positions, exposures or other factors that may expose the Bank to unusual, unexpected, inappropriate or otherwise not fully identified or quantified risks associated with counterparty exposures
• Familiarize with new and evolving Basel/regulatory requirements.

System Development

• Support the Director in Risk Models vis-a-vis Technology & Solutions - Risk Management to ensure proper and timely implementation of model enhancements on systems within the project scope. Escalate to the Director, Risk Models delays or unexpected problems that may impede progress.
• Participate and support development of business requirements for model or system enhancements, including specification of user acceptance test requirements. Participate in user acceptance testing and other activities to ensure business and analytic requirements are correctly implemented

The Specialist- Risk Modeling and Analytics is accountable for supporting the implementation of methodology enhancements used for quantifying market, derivative counterparty and traded credit risks in trading and underwriting portfolios so that the accuracy and reliability of risk measures and consequent business decisions reliant upon these data are enhanced. The role supports team members, performs research and contributes to day-to-day relationships with clients, who may be within Market Risk, Lines of Business, Technology & Solutions and creates required documentation in line with existing standards to ensure trade attributes and market data are captured and mapped correctly for pricing and counterparty credit risk calculation.

Supports the research and development of quantitative risk modeling methodologies and related strategies in support of the management of risks arising from business/group portfolios and products. Applies knowledge of analytics algorithms and technologies to develop forward looking models and analytic solutions that ensure risks are properly identified, understood and risk related strategies are enabled. Summarizes statistical findings, draws business conclusions, and presents actionable business recommendations used in the management of risks and related activities e.g. associated internal controls; enterprise-wide stress testing and scenario analysis; capital modelling; valuations. Drives innovation through the development of data products that can be leveraged across the organization and establishes best practices as well influences data governance guidelines and policies. May specialize in one or more risk categories e.g. Credit Risk, Market Risk, Interest Rate Risk, etc.

• Develops agreed analytical solution by applying suitable statistical techniques (e.g., A/B testing, prototype solutions, mathematical models, algorithms, machine learning, artificial intelligence) to test, verify, refine hypotheses.
• Automates validation tests to improve quality and efficiency of the validation process.
• Cleanses, manipulates, and transforms data through programming/scripting for model training and validation.
• Ensures alignment between stakeholders.
• Provides advice and guidance to assigned business/group on implementation of analytical solutions.
• Supports development and execution of strategic initiatives in collaboration with internal and external stakeholders.
• Provides specialized consulting, analytical and technical support.
• Develops analytical solutions and makes recommendations based on an understanding of the business strategy and stakeholder needs.
• Leads/participates in the design, implementation and management of core business/group processes.
• Conducts independent analysis and assessment to resolve strategic issues.
• Helps determine business priorities and best sequence for execution of business/group strategy.
• Executes work to deliver timely, accurate, and efficient service.
• Works with stakeholders to identify the business requirements, understand the distinct problems, and the expected outcome and models and frames business scenarios which impact critical business processes and/or decisions.
• Assists in the development of strategic plans.
• Works with various data owners to discover and select available data sources from internal sources and external vendors (e.g. lending system, payment system, external credit rating system) to fulfill analytical needs.
• Exercises judgment to identify, diagnose, and solve problems within given rules.
• Performs experimental design approaches to validate finding or test hypotheses.
• Recommends and implements solutions based on analysis of issues and implications for the business.
• Identifies emerging issues and trends to inform decision-making.
• Influences and negotiates to achieve business objectives.
• Documents data flow, systems and processes in data collection to improve efficiency and apply use cases.
• Builds effective relationships with internal/external stakeholders.
• Identifies emerging issues and trends to inform decision-making.
• Acts as a trusted advisor to assigned business/group.
• Focus is primarily on business/group within BMO; may have broader, enterprise-wide focus.
• Works independently and regularly handles non-routine situations.
• Supports the execution of strategic initiatives in collaboration with internal and external stakeholders.
• Uses the appropriate algorithms to discover patterns.
• Provides input into the planning and implementation of operational programs.
• Builds effective relationships with internal/external stakeholders. Ensures alignment between stakeholders.
• Applies scripting/programming skills to assemble various types of source data (unstructured, semi-structured, and structured) into well-prepared datasets with multiple levels of granularities (e.g., demographics, customers, products, transactions).
• Summarizes statistical findings and draws conclusions and presents actionable business recommendations. Presents findings & recommendations in a simple, clear way to drive action.
• Supports development of tools and delivers training for data and analytics.
• Conducts various pre-implementation and post-implementation analyses to estimate/measure business impact caused by model adoption (e.g., revenue increase, cost reduction, corporate brand image).

Qualification:

• Minimum of 3 to 5 years of experience within Capital Markets and Risk Management, with in-depth knowledge of financial products such as OTC derivatives, security financing
• Graduate degree in a technical field (e.g. Engineering, Computer Science, Mathematics, Finance, Statistics)
• Broad understanding and experience with risk management methodologies, preferably in Counterparty Credit Risk context
• Working knowledge of a combination of Python, C#, C++ and VBA.
• Hands on experience in derivatives product pricing and implementation testing
• Experience with Adaptiv CCR platform is an asset

Skills

• Excellent written and verbal communication skills
• Highly collaborative and relationship-oriented; enjoys working with others.
• Strong attention to detail
• Effective problem solving and critical thinking skills
• Ability to meet deadlines and manage priorities

We’re here to help

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

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://jobs.bmo.com/us/en

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. BMO is an equal opportunity/affirmative action employer. All qualified applicants will receive consideration for employment without regard to sex, gender identity, sexual orientation, race, color, religion, national origin, disability, protected Veteran status, age, or any other characteristic protected by law. Accommodations are available on request for candidates taking part in all aspects of the selection process. To request accommodation, please contact your recruiter.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.