BMO Financial Group Director, Retail AIRB Methodology in Toronto, Ontario
The Director, Retail AIRB Methodology’s mandate is to develop advanced analytic solutions and methodologies to support the Bank’s Consumer and Small Business (up to $1MM) credit risk portfolio management for both US and Canada. Under the direction of Head, Retail Risk Methodology and Analytics, the mandates of this role include developing, testing, monitoring, and maintaining regulatory AIRB (or Basel) models and working with the credit risk team and business lines to leverage the insights from these models for credit risk management within the Bank’s approved risk appetite.
The incumbent will be an outstanding leader who will attract, build, and inspire a talented and industry leading team of 7 10 risk professionals with expertise in the highly specialized and quantitative disciplines, including but not limited to credit capital assessment, risk-return optimization, financial/statistical modelling, machine learning, automation, and numeric simulation.
The incumbent will have an excellent grasp of the mathematics and statistics of quantifying portfolio loss distributions through short and long term timeframe, and a thorough understanding of how models and advanced analytic solutions can be leveraged to support model owners (MO) and model users (MU) in measuring the performance of retail portfolios, and how these solutions can be used in conjunction with pricing, adjudication, account acquisition, marketing, product and strategy development, and customer management to optimize risk-return. He/she plays a key role interacting and building relationship with internal and external stakeholders and regulators in terms of model use, risk control and model risk management.
The incumbent is accountable for managing end to end model life cycle of Retail AIRB models, in particular, recommending these models and model changes for implementation and use in financial and regulatory reporting. He/she ensures that the models are integrated into the underlying data and infrastructure seamlessly through time and business/system changes.
1. Managerial Leadership
The incumbent will constantly demonstrate strong analytic, coaching, time management and passionate thought leadership skills as they interact with and influence their team, colleagues and co-workers to develop and implement effective Retail regulatory and internal capital models, methodologies and tools designed to effectively measure business performance and optimize the risk-return trade-off. The incumbent will effectively mentor fellow team members and work closely with business partners in the development, communication, and on-going monitoring and review of risk analytics and strategies, credit capital risk methodologies, and risk parameters. Effective planning and on-going communication with several layers of management across BMO Financial Group, as well as with internal and external regulators is an essential part of leading this team.
The incumbent is also responsible for:
Effective talent management of a team of 7 10 individuals; including performance management, compensation, recruiting, mentoring, training, coaching, and career management.
Communicating complex risk methodology and analytic concepts effectively in both written and verbal form. Audience includes: federal regulators, internal vetting and audit groups, as well as team members, business managers and senior level executives.
Maintaining appropriate business continuity and pandemic plans
2. AIRB Capital Model Development
The incumbent will be responsible for developing, communicating, and integrating risk analytics, and AIRB capital assessment models into all aspects of the retail banking business. He or she will maintain up to date knowledge of advanced analytic methodologies and develop creative analysis, directions and methods to improve portfolio performance. The incumbent will also pro-actively explore and recommend opportunities to extend the scope and applicability of statistical models or analysis as well as developing new models and advanced analytic solutions to support value added. Some specific areas of analytic research and modelling that are actively developed and explored within the group are the following:
PD/EAD/LGD segmentation for regulatory AIRB (Basel) and internal economic capital estimation
Parameter calibration for regulatory AIRB (Basel) and internal economic capital estimation
Models and parameters supporting the calculation of provision for credit loss
Net present value (NPV), profitability and Risk Adjusted Return on Capital analysis
Other forecasting models for losses, risk weighted assets, and credit capital over both short and long term planning horizons
3. Model Lifecycle Management
The incumbent is responsible for developing, communicating, implementing, reviewing, monitoring and reporting on regulatory and internal AIRB capital models for the Canada and US Consumer and Small Business portfolios, including but not limited to:
Ongoing model monitoring for all types of models to ensure that models are performing as expected.
Supporting annual validation / reviews / revalidation of models as needed
Quarterly regulatory reporting and external disclosure of model related results
Recalibrating capital model parameters periodically in response to validation results and changing portfolios and economic conditions.
Performing trigger reviews in response to model performance issues
Remediate model issue by providing overlay, recalibrating or redeveloping models
Actively contributing to the efforts of enhancing the Bank’s model risk management framework (Corporate Policy, Standards, Guidelines as well and Operating Procedures).
4. Business and Infrastructure Support
The incumbent is responsible for developing, communicating (written and verbal), and integrating internal and regulatory capital allocation methodologies into the evaluation and performance measurement of the consumer banking credit exposures. He/she will pro-actively explore and recommend opportunities to extend the scope and applicability of Retail credit risk models.
Integrating Risk-Adjusted Performance Measurement
Supporting ongoing economic and regulatory capital planning and forecasting
Supporting ongoing business initiatives such as portfolio acquisition by providing modeling solutions for the acquired portfolios, or in the case of a portfolio sale, providing impact assessment for the remaining exposures in the portfolio
Providing modeling requirements for new system and system conversion
Adapting models to changing business needs and portfolios strategy
Capital and loss impact assessments due to portfolio and model change
Playing a key role and supporting the development of Model Development Reservoir (MDR)
Passionately drive change and transformation – analytical infrastructure, automation, migration monitor - for efficiency and effectiveness.
Knowledge and Skills
Masters /PhD level degree in a quantitative field (e.g. statistics, mathematics, economics, finance, operations research, engineering etc)
Advanced knowledge of credit capital methodology, risk-return optimization, and the mathematics around quantifying portfolio loss distributions
Excellent recruiting, coaching and mentoring skills – developing and leading a high performance team
5 years managerial experience leading a team of 5 15 risk professionals that develops quantitative models
8 years of experience in developing and integrating credit capital methodology for consumer loan portfolios
Thorough understanding of all three pillars of Basel II and the necessary elements of maintaining regulatory compliance using the Advanced IRB method
Ability to relate analytical and capital expertise to business problems, formulate business recommendations and communicate effectively to a non-analytical audience
Excellent time and resource management skills, flexibility and resourcefulness to interface and collaborate with internal and external groups
Knowledge and ability to develop and apply financial analysis to business and strategic issues and mentor team members to develop these skills
Knowledge of big data analytics and machine learning
Excellent communication and presentation skills (bothwritten and verbal)
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 networkbuilding 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.
BMO Financial Group
- BMO Financial Group Jobs