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BMO Financial Group Director, Stress Testing and Analytics in Toronto, Ontario

Description:

Reporting to the Managing Director, Market Risk, the Director is responsible for leadership of BMOFG’s Market Risk Stress Testing & Risk Analytics.

The Market Risk Stress Testing function is responsible for maintaining and evolving the firm's market risk stress testing models, as well as other market risk measures such as scenario analyses required by the regulatory framework or the firm's risk management. The group's work focuses on the bank’s trading portfolio, including fixed income and interest rate derivative products, equities, credit products and commodities. The Stress Testing team works with Risk Oversight Leads to ensure stress tests are accurate, complete and highlight all key ‘tail’ risks. Team members are expected to be able to undertake independent quantitative and empirical research, to communicate with the business and senior management, and to continuously familiarize themselves with a broad range of financial products and market dynamics. Stress test programs include daily sensitivity and scenario stress tests, including event and ad hoc stress tests, as well as broader programs such as the Enterprise Wide Stress Testing / Comprehensive Capital Analysis and Review.

Market Risk Analytics focuses primarily on the Capital Markets Lines of Businesses and is comprised of Risk/P&L Attribution, Risks Not In VaR (‘RNIV’), Product Development (i.e. new product approval process and change management), Centralized Monitoring (i.e. items that span across all LOBs such as Limit Breaches/Extensions, Approved Product List, Stale Positions and other metrics) and the Fundamental Review of the Trading Book implementation from a Risk Oversight perspective.

The role requires outstanding communication, leadership and quantitative skills as well as strong experience with financial instruments to champion the strategic imperatives of 1) building and running an effective stress testing program that controls risk within articulated risk appetite and provides insight to Senior Management and 2) oversee a value-add Risk Analytics team that de-mystifies the sources of risk and P&L, keeps tight control and assessment on RNIV, marshals product introduction/change management and supports several key central monitoring functions. A close working relationship with both Trading and Market Risk Oversight personnel is required. The Director is responsible for leadership in advancing stress testing / attribution techniques and capabilities, building an excelling team and responding to client needs timely and effectively.

The incumbent is expected to champion and advance the Market Risk Management mandate forward which is comprised of:

1) Shaping the Operating Units Strategy: Effective Challenge; ability to liaise with our Operating Group(s) stakeholders by being at the table during the pivotal time of defining a business's strategy and molding the strategy with the lens of the bank's risk appetite

2) Servicing: Independent Oversight - Serving the stakeholders of the bank (executive management, business heads, Executive Boards, Committees, Shareholders, and Regulators) with risk identification, risk measurement, and timely and accurate risk reporting.

3) Securing: Assessment and Control - Through timely accurate reporting, analysis, and business and governance engagement, ensure exposures are within the overall risk appetite of the Bank. This is demonstrated by having a strong limit and control structure embodied within the corporate policies and day to day oversight.

These building blocks are cascaded within the organization through policies, standards, presentations, reports, and the organizational structure to clarify the strategic aims of the group, its interface with other areas of the organization, and to align with and inform the Bank's governance model.

Stress Testing

  • Provide a full analysis and recommendations to the MD, Risk Oversight & Risk Leads relating to the suitability of existing stress testing models, new stress testing models, and ad-hoc stress testing models with respect to the Bank’s trading portfolio and appetite for risk. Ensure tail risks are well understood by Senior Management.

  • Develop and execute specifications that ensure capture of all trades, correct mapping of portfolios, and enhance product mappings and risk factors across the Lines of Business.

  • Ensure stress testing methodologies for understanding and measuring risks remain current to industry best practices and are inclusive of all types of market and traded credit exposures.

  • Manage and prioritize stress testing related projects of strategic importance to ensure timely delivery. The projects will typically involve both short term issues (daily or immediate), as well as complex issues and lengthy development and execution periods (1 month or longer) requiring co-ordination with many different groups both within and external to Market Risk.

  • Provide leadership and day-to-day direction to Managers within the stress testing group in terms of prioritizing issues and in terms of identifying, developing and measuring key risks.

  • Lead the analysis of market data for revisions to stress scenarios and/or model parameters in response to changing market views and trade positions.

  • Assist senior management with ad hoc risk analysis to support Risk Oversight and the Line of Business.

  • Develop and maintain a thorough knowledge of trading products including the risk and mathematical characteristics of a wide range of complex instruments.

  • Ensure appropriate documentation (i.e. Standard Operating Procedures), controls and cross training are in place.

Risk Analytics

  • Ensure that there is full transparency of all market risks in select Global Businesses to Senior Risk and LOB Management through comprehensive decomposition and attribution of market risk results across different dimension including but not limit to asset class, business, market, maturity.

  • Conduct thorough risk diagnostics on risk measures (VaR, Stress and any ad hoc requests) to ensure full transparency of the origin of the risk and mechanics of the measurements.

  • Provide expert, independent commentary on risk exposures, trends, P&L risk attribution all risk issues for the various dashboards, forums and committees.

  • Ensure, through an appropriate attribution reporting framework, that transparency extends to LOB management, senior executives in CM, and ultimately to the RMC and RRC.

  • Assist in directing and managing the development of state-of-the-art methodologies, systems and processes for measurement and monitoring of market risk and issuer risk / other trading & investment credit risk.

  • Ensure appropriate documentation (i.e. Standard Operating Procedures), controls and cross training are in place.

Risks Not in VaR

  • Lead and evolve the Risks Not in VaR process through chairing the RNIV forum, ensuring the intake process from the various streams is complete and risk assessments are accurate and timely and results are appropriately escalated for remediation and potential capital add-ons.

  • Promote a culture of self-identification of RNIVs across all VaR stakeholders. Constantly challenge intake streams and look for ways of improving process through opening new channels and dropping ineffective ones.

  • Ensure appropriate documentation (i.e. Standard Operating Procedures), controls and cross training are in place.

Product Development

  • Lead the product development process where new products / changes to products communicated by the LOB are assessed, disseminated, tracked and approved.

  • Use expert judgement and experience to assess stakeholder workload and streamline feedback turnaround time.

  • Evolve Product Development Service Level Agreement and represent Market Risk in matters of product on-boarding.

  • Ensure culture of responsible but timely turn-around by stakeholders through KPIs.

  • Ensure appropriate documentation (i.e. Standard Operating Procedures), controls and cross training are in place.

Centralized Monitoring

  • Lead Central Monitoring process for select metrics that span all LOBs. This includes monitoring of Limit Breaches/Extensions, Approved Product List, Stale Positions and other metrics.

  • Provide leadership in assessment / review of any overarching market risk documents such as Corporate Policies, Standards and Guidelines.

  • Monitor KPIs associated with mandate execution and ensure process is in place that evidence appropriate discharging of stated mandate and objectives.

  • Ensure appropriate documentation (i.e. Standard Operating Procedures), controls and cross training are in place.

Fundamental Review of the Trading Book

  • Serve as the primary Market Risk contact for FRTB in relation to matters of a Risk Oversight nature, liaising with internal staff where appropriate.

Client and Relationship Management

  • Maintain a strong, independent voice for risk to ensure that prudent risk practices prevail.

  • Manage the natural tensions between the desire for growth and the allocation of scarce risk capacity with honesty, transparency, and toughness where warranted (‘Being BMO’).

  • Develop a trusted, value-added advisor role with senior risk and LOB management, ensure their understanding of material market risks. Establish relationships with traders, line of business executives and related support functions.

  • Work with personnel from the line of business to ensure their understanding, co-operation, and commitment to current and developing risk measurement methodologies.

  • Respond to risk information requirements of Senior Management, trading management and Corporate Support Areas as necessary.

  • Build and maintain effective relationships with Risk Management executives to ensure that Bank-wide reporting and external disclosure requirements and initiatives are met.

Change and Innovation

  • Work with LOB and Market Risk to approve or recommend one-off transactions, or full implementation of new trading products, subject to the authorities granted in the Control Over Initiatives and Expenditures Corporate Standard. Make appropriate recommendations to ensure that proposals that do not meet BMOFG’s standards or exceed BMOFG’s risk appetite are rejected or modified accordingly.

  • Ensure that current and new Stress Testing, RNIV, Attribution and Product Development methodologies meet our risk objectives, align with best market practices, and support the strategic priorities of the Trading and Underwriting lines of business.

  • Identify gaps, weaknesses or opportunities for improvement in the Corporate Policy/Standard/Guideline framework supporting market risk-related activities and work to address these.

  • Remain current knowledge of key market issues, including regulatory developments and expectations, best practices in risk methodology and risk oversight, and evolving market conditions.

  • Work with the business and ERPM to anticipate as fully as possible, emerging and top line risks. Ensure that the implications of these risks are understood, and that BMO’s trading businesses maintain a state of preparedness for situations which might develop as a consequence.

Managerial Leadership

  • Provide visible leadership for Risk in the business to promote a sound risk culture in the trading business.

  • Provide leadership to staff by coaching them on deliverables and issues management; review work and provide performance feedback on a regular basis; promote ongoing training and development of direct reports.

  • Develop, implement, and maintain strategies to build a team of highly motivated and well-organized risk professionals combined with risk models and systems for market, traded credit and counterparty risk which will fully address the expectations of trading and senior executive management, meet or exceed best practices and are fully compliant with regulatory requirements.

  • Build a high-performance work environment across the Risk Oversight and within Market Risk Management by establishing and maintaining effective managerial practices.

  • Communicate BMO goals and group goals in a compelling manner and model Being BMO behaviours to build the most effective work environment.

Internal/External Compliance

  • Work with the various regulators and auditors, as a key contact within Market Risk, to ensure clear and timely communication of key risk issues within the Capital Markets trading and underwriting businesses and the methodologies and processes involved in risk quantification and assessment.

  • Ensure external risk reports are complete, accurate and timely.

Qualifications:

Knowledge:

  • In depth knowledge market risk, product and capital markets knowledge with 10-15 years of direct experience in trading businesses.

  • Strong understanding of risk and risk measures and mathematical finance.

  • Exceptional communication skills both written and oral.

  • Extensive understanding and experience with risk management methodologies, measurement, financial markets and products.

  • Understanding of the functioning and strategic direction of the applicable LOBs.

  • Exceptional relationship building and negotiation skills.

  • Strong leadership skills.

  • University graduate degree in business/quantitative finance or equivalent degree.

Skills:

  • Communication skills

  • Ability to enforce a strong independent view of risk and exercise authority in the face of resistance where appropriate

  • Problem solving and analytical skills

  • Leadership/People skills

  • Conflict resolution and negotiation skills

  • Influencing skills

  • Strategic planning skills

  • Coaching

  • Change management

  • Strong intuitive sense for risk identification/assessment

  • Ability to take initiative independently, especially on urgent and/or emerging risk issues

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.

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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Job Field:

Operational Risk

Job Schedule:

full-time

Primary Location:

Canada-Ontario-Toronto

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