Senior Manager, Credit Risk Model Validation

Bank of Montreal • Chicago, NY

1d • Hybrid

About The Position

Seeking a skilled and experienced professional to join our Model Risk Management Team as a Senior Manager, Model Risk, Credit Risk. As a Senior Manager in our second-line governance and control, you will play a pivotal role in overseeing the validation of credit risk models, with particular emphasis on wholesale and retail Stress Testing (CCAR/EWST) models as well as Allowance (IFRS 9 /CECL) models. Other activities related to the model lifecycle such as model performance monitoring, annual reviews, assessment of overlay quantification are also part of the validation responsibilities. Experience in other credit risk families such as wholesale borrower risk rating models, credit adjudication and account management models, and retail AIRB is also relevant. This dynamic position is a leadership role, requiring the supervision of 5+ people. Occasionally, you may also need to act as an individual contributor.

Requirements

• A MSc or PhD in quantitative fields such as statistics, applied mathematics, financial mathematics, data science, actuarial sciences, electrical engineering, or related fields.
• A minimum of 7 years of experience in model development and/or validation within a financial institution, particularly in the credit risk area.
• Experience in credit risk models, including Stress Testing & loss forecasting, AIRB and Adjudication/Account Management.
• Proficiency in a programming language such as Python, R, and SAS (Python is preferred)
• Proficiency in working with relational databases – SQL or Oracle
• A can-do attitude and a research, deep-dive mindset
• Typically 7+ years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
• In-depth / expert knowledge and understanding of model validation, model risk management practices.
• In-depth / expert knowledge of regulatory requirements.
• In-depth / expert knowledge & experience with risk policy frameworks; quality control / testing frameworks.
• Seasoned professional with a combination of education, experience and industry knowledge.
• Verbal & written communication skills - In-depth / Expert.
• Analytical and problem solving skills - In-depth / Expert.
• Influence skills - In-depth / Expert.
• Collaboration & team skills; with a focus on cross-group collaboration - In-depth / Expert.
• Able to manage ambiguity.
• Data driven decision making - In-depth / Expert.

Nice To Haves

• Certifications: While qualifications like CFA, FRM, PRM are helpful, they are not mandatory.
• Working with Big data tools and Cloud platforms (AWS/Azure) is a plus.

Responsibilities

• Model Risk Review and Effective Challenge: You perform the validation of models and assess the model risk to confirm model appropriateness and capability for a designated portfolio.
• You are responsible for providing effective challenge to the credit risk models during model development and communicating decisions regarding model use to the business to ensure transparency and understanding of models and model risks.
• You assess the models’ capabilities, stress points and limitations; you assess the associated model risk and the controls in place to mitigate identified risks.
• Stakeholder Engagement: Effective communication is crucial in this role. You will manage relationships with model developers, owners, and users, influencing and advising on model risk-related matters. Your ability to explain complex technical concepts in everyday language will set you apart.
• Project Management: Recommends business priorities, advises on resource requirements, and develops roadmap for strategic execution. Manages resources and leads the execution of strategic initiatives to deliver on business and financial goals.
• Change Management: BMO is at the forefront of innovation in model risk management. You will be part of the team that drives change by embracing new technology platforms, tools, and operating models. Leads change management programs of varying scope and type, including readiness assessments, planning, stakeholder management, execution, evaluation, and sustainment of initiatives.
• Regulatory Expertise: Acts as a subject matter expert on relevant regulations and policies. May network with industry contacts to gain competitive insights and best practices. Interprets new regulations and assesses impacts to the program / portfolio validation framework.
• Risk Understanding: You will need to connect the dots between technical issues and business considerations.
• Performs validation of models and assesses model risk to confirm model appropriateness and capability for a designated portfolio.
• Provides effective challenge during model development and communicates decisions regarding model use to the business to ensure transparency and understanding of models and model risks.
• Assesses model’s capabilities, stress points and limitations; assesses the associated model risk and the controls in place to mitigate identified risks.
• Fosters a culture aligned to BMO purpose, values and strategy and role models BMO values and behaviours in all that they do.
• Ensures alignment between values and behaviour that fosters diversity and inclusion.
• Regularly connects work to BMO’s purpose, sets inspirational goals, defines clear expected outcomes, and ensures clear accountability for follow through.
• Builds interdependent teams that collaborate across functional and operating groups to create the highest value for all stakeholders.
• Attracts, retains, and enables the career development of top talent.
• Improves team performance, recognizes and rewards performance, coaches employees, supports their development, and manages poor performance.
• Provides strategic input into business decisions as a trusted advisor.
• Makes recommendations to senior leaders on strategy and new initiatives, based on an in-depth understanding of the business/group.
• Acts as a subject matter expert on relevant regulations and policies.
• May network with industry contacts to gain competitive insights and best practices.
• Interprets new regulations and assesses impacts to the program / portfolio validation framework.
• Influences and negotiates to achieve business objectives.
• Identifies emerging issues and trends to inform decision-making.
• Recommends business priorities, advises on resource requirements and develops roadmap for strategic execution.
• Manages resources and leads the execution of strategic initiatives to deliver on business and financial goals.
• Measures the effectiveness of validation and monitoring framework; recommends changes as required.
• Conducts independent analysis and assessment to resolve strategic issues.
• Acts as the prime subject matter expert for internal/external stakeholders.
• Represents the model validation program / portfolio for internal/external regulatory audits and/or examinations.
• Ensures alignment between stakeholders.
• Designs and produces regular and ad-hoc reports, and dashboards.
• Develops and manages comprehensive information management systems; designs and/or leads initiatives to improve processes, analysis and reporting.
• Defines business requirements for analytics & reporting to ensure data insights inform business decision making.
• Leads change management programs of varying scope and type, including readiness assessments, planning, stakeholder management, execution, evaluation and sustainment of initiatives.
• Leads the development of the communication strategy focusing on positively influencing or changing behaviour.
• Leads the execution of operational programs; assesses and adapts as needed to ensure quality of execution.
• Leads the research and development for validation of new types of models.
• Leads and integrates the monitoring, measurement & reporting of the status of the model validation program / portfolio to internal & external stakeholders.
• Provides input into the planning and implementation of ongoing operational programs in support of the model vetting framework and portfolio.
• Leads in the design, implementation and management of core business/group processes.
• Develops validation strategies and plans to ensure appropriate type and level of vetting of models is carried out.
• Independently validates / tests models and their associated assumptions, benchmarks, and supporting documentation against model vesting process, standards, guidelines and principles; assesses the data for model development as well as inputs to the model; compares validation results with model developer results for replicability.
• Identifies deficiencies, conditions for model use, recommends changes, and escalates as required; quantifies model risks, documents outcomes and communicates with stakeholders.
• Identifies where corrective actions are required and escalates per guidelines; monitors and ensures corrective action is taken.
• Provides technical advice and guidance to assigned business/group on implementation of the model vetting framework, and resolution of model risk issues.
• Develops and maintains in-depth knowledge of business and related risk management requirements and legislative/ regulatory directives and guidance.
• Builds effective relationships with internal/external stakeholders.
• Ensures alignment between stakeholders.
• Monitors and tracks performance; addresses any issues.
• Coordinates and monitors the review and sign-off of model validation reporting including model inventory and model inventory attestations.
• Operates at a group/enterprise-wide level and serves as a specialist resource to senior leaders and stakeholders.
• Applies expertise and thinks creatively to address unique or ambiguous situations and to find solutions to problems that can be complex and non-routine.
• Implements changes in response to shifting trends.
• Broader work or accountabilities may be assigned as needed.

Benefits

• BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans.
• To view more details of our benefits, please visit: https://jobs.bmo.com/global/en/Total-Rewards

What This Job Offers

• Job Type: Full-time
• Career Level: Manager