Senior Manager, Structural Market Risk

BMO • Chicago, IL

6d

About The Position

The Senior Manager, Structural Market Risk (SMR) leads the development, enhancement, and implementation of quantitative risk models and assumptions that measure and manage structural market risk across the Bank’s balance sheet. The role focuses on products with contractual maturities and embedded optionality, ensuring methodologies, assumptions, and analytics accurately reflect customer behavior, market dynamics, and regulatory expectations. The incumbent collaborates closely with Corporate Treasury, Market Risk, Model Risk, and business partners to strengthen the Bank’s SMR framework and analytical capabilities.

Requirements

• Previous experience in Asset Liability Management or Market Risk Management with a focus on Interest Rate Risk
• Strong in‑depth experience using the QRM Asset Liability Management Framework or similar software
• Previous experience implementing behavioral models in the QRM Framework or similar software
• Previous experience in fixed income, derivatives, or loan valuation, including instruments with embedded options
• Strong knowledge of Funds Transfer Pricing best practices for bank products with embedded optionality
• Strong understanding of loan prepayment modelling and cash‑flow waterfalls from structured mortgage‑backed securities and other asset‑backed securities
• Strong knowledge of stochastic rate‑path valuation concepts
• Typically 7+ years of relevant experience with a post‑secondary degree or equivalent mix of education and experience.
• Advanced analytical, problem‑solving, communication, influence, and cross-group collaboration skills.
• Ability to manage ambiguity and support data‑driven decision‑making.

Nice To Haves

• Advanced degree in quantitative disciplines and/or professional finance/risk designations preferred.
• Strong proficiency in Excel, SQL, VBA, and Python.
• Experience with risk management, financial markets, pricing, and ALM functions.

Responsibilities

• Model Development, Implementation & Oversight Coordinate the development and implementation of SMR behavioral models, including embedded option valuation and earnings/economic value methodologies.
• Liaise with lines of business and product owners to fully understand product terms, embedded optionality, and customer behaviors that influence model design.
• Collaborate with Corporate Treasury teams to review and design behavioral models that can be implemented efficiently in QRM across SMR, FTP, and Planning/Forecasting use cases.
• Coordinate model implementation and testing with QRM Architecture, SMR Analytics & Reporting, and model development teams.
• Develop and maintain robust model and non‑model assumption documentation, including methodologies, testing, and impact analysis.
• Provide comprehensive documentation and lead responses during Market Risk and Model Risk oversight review and challenge processes.
• Ensure compliance with all model risk and market risk policies, standards, and governance frameworks.
• Lead ongoing model monitoring, including back‑testing, benchmarking, and stress‑testing, recommending refinements as appropriate.
• Assumption Governance & Quantitative Analytics Create, periodically review and refine non‑model assumptions driving valuation, earnings forecasts, and customer behavior estimates.
• Develop quantitative analyses and processes supporting FTP components such as option costs, prepayment rates, weighted average lives, and related product cash‑flow characteristics.
• Ensure alignment of assumptions and methodologies across SMR, FTP, and hedging strategies within Corporate Treasury’s Asset Liability Management framework.
• Strategic Advisory & Stakeholder Partnership Provide SMR subject matter expertise to senior leaders on risk methodology, product design implications, and regulatory requirements.
• Lead responses to recommended changes or findings from Market Risk, Model Risk, Internal Audit, External Audit, and regulators.
• Build strong relationships with internal/external stakeholders, incorporating industry best practices and competitive insights to enhance SMR capabilities.
• Participate in projects focused on optimizing SMR measurement, reporting, hedging strategies, and risk management processes.
• Reporting, Data, and Process Excellence Define analytical and reporting requirements to support decision‑making; produce dashboard reporting and ad-hoc analysis.
• Ensure alignment and integration of data across systems in accordance with data governance standards.
• Collaborate with data owners to source, validate, and integrate internal and external datasets relevant to SMR modeling.
• Monitor market conditions, identifying impacts to model performance, assumptions, and overall SMR metrics.
• Leadership, Strategy & Change Management Provide strategic input to business decisions and contribute to roadmaps for model, assumption, and methodology enhancements.
• Lead or participate in change management initiatives, ensuring effective execution, communication, and sustained enhancements.
• Apply expert judgment to solve complex, ambiguous analytical and risk‑related challenges.

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: Mid Level