Manager, CCR Capital

BMO•Toronto, ON

13d•CA$82,800 - CA$154,800

About The Position

Applies mathematical and statistical methods to financial and risk management problems (e.g. internal controls; enterprise-wide stress testing and scenario analysis; capital modelling; valuations). Through quantitative analytical modelling, identifies important factors to consider for financial disaster and recovery plans. Conducts research and creates tools that use data to develop scenario-based planning and implements complex mathematical models to help the business make better financial and financial decisions (e.g. investments, pricing, etc.), drive innovation and minimize the impact of uncertainty. Manage and oversee daily operations and system enhancements, effectively check the operational processes are conducted timely and completely. Ensure the exposure metrics are generated timely and reasonably accurate for the downstream systems, e.g. Large Exposure, OSFI Top 100 reporting. Ensure that the CCR capital is in full compliance with regulatory requirement. Identify opportunities for, and lead the enhancement for capital methodologies for quantifying counterparty credit risk capital across all trading products so that the accuracy and reliability of capital and consequent business decisions reliant upon these data are enhanced.

Requirements

3+ years of related work experience in a financial institution
Strong knowledge with financial products, specifically possessing knowledge of derivatives (OTC) as well as SFT
Strong Experience working with BASEL III and OSFI CAR Guideline
Strong Experience with CCR, CCR Capital (SA-CCR) is a MUST
Experience on BCAR
Advanced knowledge of Excel, VBA, SQL, Database Concepts
Advanced Python programming experience
Participation in mid-scale/large IT development projects, with hands-on experience in conducting testing
Strong capability of writing business requirement and test plans
Strong capability of creating mock-up data required to test the pre-specified cases
Broad understanding of risk management methodologies
Experience in an Agile and fast-paced environment
Strong analytic and troubleshooting skills with a solution oriented attitude
Self-motivated and take ownership
Good self-organization skills including planning, scheduling, managing priorities and meeting deadlines
Good oral and written communication skills.
Strong interpersonal skills and ability to function effectively within a team, and work with multiple stakeholders.
Curios, dynamic, focused, proactive, detail-oriented
Advanced university degree, preferably in a quantitative field, such as Mathematics, Statistics, Science or Engineering.

Nice To Haves

Experience in using work tracking systems (e.g. JIRA, HPQC) would be an advantage
CFA, FRM, PRM designation or working towards one of those or similar ones would be an asset

Responsibilities

Interpret the regulatory requirement and perform Self-Assessment Process (SAP) to ensure full compliance
Manage the business processes on capital calculation to ensure proper controls are in place and executed appropriately.
Review the tool implementation for and perform driver analysis for the capital changes based on production operations
Develops pricing and quantitative risk models for an assigned portfolio e.g. fixed income, corporate credit and loans.
Monitors risk in strategies and portfolios alongside project managers or functional leads.
Conducts research and develops tools that use data to make better financial decisions; such as: investments, pricing, etc.
Applies knowledge of risk assessment and controls along with extensive understanding of industry compliance standards and regulations.
Identifies ways of mitigating potential risks; recommends and implements solutions based on analysis of issues and implications for the business.
Documents data flow, systems and processes to improve the design, implementation and management of business/group processes.
Conducts quantitative research in risks across strategies and portfolios.
Provides specialized consulting, analytical and technical support.
Exercises judgment to identify, diagnose, and solve problems within given rules.
Works independently and regularly handles non-routine situations.
Broader work or accountabilities may be assigned as needed.
Take measured risks while protecting the bank by applying our Risk Management Framework in the execution of your role, in line with our Risk Culture and within our approved Risk Appetite, making sound and risk informed decisions that align to business strategy, protect assets, and adhere to applicable policy documents (Frameworks, Policies, Standards, Procedures and Supporting documents), laws and regulations.