Sr. Analyst, CCR Capital

BMO•Toronto, ON

About The Position

This role involves applying mathematical and statistical methods to financial and risk management problems, including internal controls, enterprise-wide stress testing, scenario analysis, capital modeling, and valuations. The analyst will conduct research and create tools using data to develop scenario-based planning and implement complex mathematical models to aid in financial decision-making, drive innovation, and minimize uncertainty. Responsibilities include developing pricing and quantitative risk models for portfolios such as fixed income, corporate credit, and loans, monitoring risk in strategies and portfolios, and applying knowledge of risk assessment, controls, industry compliance standards, and regulations. The role also involves identifying risk mitigation strategies, documenting data flow and processes, and conducting quantitative research in risks across strategies and portfolios, with a primary focus on BMO business/group, potentially extending to an enterprise-wide scope. The analyst will exercise judgment to solve complex problems, work independently on diverse tasks, and take measured risks in alignment with the bank's Risk Management Framework. Specifically, this role will manage and oversee daily/monthly CCR Capital operations, ensure timely and accurate exposure metric generation for downstream systems, support CCR Capital system enhancements and bug fixes, and ensure compliance with regulatory requirements. A key aspect is identifying opportunities for and leading enhancements to capital methodologies for quantifying counterparty credit risk capital across all trading products to improve accuracy and reliability.

Requirements

Foundational level of proficiency: Learning Agility.
Systems Thinking.
Critical thinking.
Driving Results.
Quantitative financial modeling.
Computational thinking and programming.
Verbal & written communication skills.
Collaboration & team skills.
Analytical and problem-solving skills.
Data driven decision making.
Typically between 1 - 3 years of relevant experience and post-secondary degree in related field of study or an equivalent combination of education and experience.
Technical proficiency gained through education and/or business experience.

Responsibilities

Manage and oversee CCR Capital daily/monthly operations, 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. BCL, Large Exposure, OSFI Top 100 reporting.
Support the implementation process for CCR Capital system enhancement and bug fixes.
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.
Run the business processes to ensure proper controls are in place and executed appropriately.
Perform driver analysis for the capital changes based on production operations.
Interpret the regulatory requirement and perform Self-Assessment Process (SAP) to ensure full compliance.
Coordinate business operational processes with internal and external stakeholders.
Translate the business solutions into technical requirement, i.e. write business requirements.
Support the implementation process, and provide seamless communication with technology developers.
Support the creation of the test plan including the test scenarios and sample data to support the testing scenarios.
Identify issues and propose solutions.
Analyze the test result and communicate the result to senior management.
Document procedures, control processes, and policies relevant to internal controls.
Continuously improve understanding of subject matter relating to Counterparty Credit Risk monitoring and Basel III RWA / capital calculations.