Senior Analyst, Market Risk Models Senior Analyst, Market Risk Models …

Bank of Montreal
in Toronto, ON, Canada
Permanent, Full time
Be the first to apply
Competitive
Bank of Montreal
in Toronto, ON, Canada
Permanent, Full time
Be the first to apply
Competitive
Senior Analyst, Market Risk Models
Analyze methodologies used for quantifying market, derivative counterparty, and traded credit risks in trading and underwriting portfolios and develop improvements or extend applications to new products or markets such that the accuracy and reliability of risk measures and consequent business decisions reliant upon these data are enhanced.


Risk Methodologies



  • Run VaR/Stress VaR calibration model for Market Risk systems (MRNG, NVAR etc.)
  • Provide daily/weekly/monthly calibration package and diagnose; develope strategic calibration
  • Coordinate with Risk Oversight, VPC and Model Validation team to develop and maintain risk factor definitions and mappings for VaR simulation
  • VaR/SVaR model performance monitoring and investigation
  • Monthly and Quarterly trigger monitoring and reporting
  • Develop enhancements to market risk methodologies as a consequence of improved statistical analyses, or due to new products, or entry into new markets.
  • Lead the analysis of market data for revisions to risk factors and/or market model parameters for market, derivative counterparty risk applications.
  • Manage implementation of methodological refinements as required to ensure the market risk methodologies meet Market Risk Oversight activities and support appropriate management of trading risks.
  • Consult with Market Risk Oversight to understand line of business objectives, translate business requirements into development tasks and ensure alignment of priorities between Risk Infrastructure and Risk Oversight so that overall Market Risk objectives and priorities are realized.
  • Create business specifications and develop system implementation plans in consultation with Market Risk Technology
  • Participate in key projects with respect to the system model change or upgrades; organize the testing processes and issues, coordinate with Front Office, Market Risk and Market Risk Technology System Development and Implementation
  • Consult with Market Risk Oversight to understand line of business objectives, translate business requirements into development tasks and ensure alignment of priorities between Risk Infrastructure and Risk Oversight so that overall Market Risk objectives and priorities are realized.
  • Create business specifications and develop system implementation plans in consultation with Market Risk Technology.
  • Monitor implementation against agreed timelines and escalate to Senior Manager - Model Enhancements if delays or unexpected events impede progress and jeopardize timelines.
  • Develop and execute user test plans and to ensure business and analytic requirements are correctly implemented.


Qualifications
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);
  • Finance;
  • Economics;
  • Financial markets and products;
  • Understanding and experience with risk management methodologies and measurements systems.




Skills:


  • Good programming skills
  • Good analytic and troubleshooting skills;
  • Good oral and written communication skills;
  • Ability to meet deadlines and manage priorities;
  • Good relationship management skills.
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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.

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