Manager, Structural Market Risk Oversight

BMO Harris•Chicago, IL

79d•Hybrid

About The Position

BMO's Structural Market Risk Oversight team is responsible for providing effective challenge, independent oversight, reporting, monitoring of structural market risk in the Banking Book. Our ideal candidate has Asset Liability Management (ALM) experience with academic background in math and finance. The US regional banking crisis in 2023 has underscored the importance of ALM. In this role, you will be able to understand how the Bank manages its interest rate risk and provide effective challenge on existing modelling assumptions and strategies. You will work closely with stakeholders across Risk and Finance and observe the connections between various Treasury Risk functions (ALM, Funds Transfer Pricing, Capital, Liquidity & Funding). Our ideal candidate has a background with Treasury and ALM combined with experience with QRM, and a background in math and finance. This is a very interesting and challenging area where you are able to see the connection between ALM and the rest of the balance sheet and see why ALM truly matters. Please note this position has a hybrid working model. The successful candidate is required to work both in the Chicago office and virtually.

Requirements

Regulatory capital and stress testing.
Compliance and regulation.
Machine learning.
Learning Agility.
Systems Thinking.
Asset liability management
Model risk management.
Data management.
Critical thinking.
Driving Results.
Verbal & written communication skills.
Collaboration & team skills.
Analytical and problem solving skills.
Data driven decision making.
Quantitative financial modeling.
Typically between 5 - 7 years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
Deep knowledge and technical proficiency gained through extensive education and business experience.

Responsibilities

Analyzes the risk metrics (Economic Value of Equity, PV01, Earnings at Risk…) from modelling, interest rate, and balance sheet changes/movements.
Monitors structural market risk limits set by the bank as a second line of defense function. Deviations and excesses from structural market risk limits require investigation and sign-off from executives.
Reviews and challenges models and non-model assumptions
Prepares presentations and materials on structural market risk position to be discussed at committee meetings comprised of senior leaders of Market Risk and Corporate Treasury
Supports audit and regulatory findings remediation efforts
Conducts research and develops tools that use data to make better decisions
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.
Works independently and regularly handles non-routine situations.