BMO FINANCIAL GROUP
Manager, Model Risk Vetting – Capital Markets Market Risk-1400018132
Description
Model Risk and Vetting (MRV) group in Enterprise Risk & Portfolio Management has the mandate to facilitate enterprise-wide management of model risk so that the bank is not subject to unjustified, undue, and unidentified risks due to the use of models, and promoting the transparency and understanding of models and model risks across the bank.
Objectives of Market Risk Vetting Team is to identify, vet, and review all models applied in Market Risk so that all material model risks are assessed, communicated and monitored in a timely basis. To align team goals with MRV and the Bank’s objectives through the quality delivery of vetting reports and reviews to ensure that vetting works are value added to LOB and comply with internal policy/standard and meet requirements of internal/external audits and regulators.
• Assist the Senior Manager of the Market Risk Vetting Team, this position carries responsibility for the timely and accurate assessment, and approval of models used by Market Risk.
• The Vetting/Review/Validation activities include but is not limited to reviewing model documentation; assessing key assumptions, including qualitative and expert judgement, logic and conceptual soundness; assessing the quality of the data for model development as well as inputs to the model; replication; conduct of various tests; documentation of findings in a
• Vetting Report; confirming correct model implementation and determining the appropriateness of the use of model output.
• This position will implement and make recommendations to the Senior Manager, the Director and the Vice President (VP), Model Risk and Vetting on significant issues affecting the use of models and the level of model risk exposure of assets or portfolios under Market Risk
• This function will help the Senior Manager ensure that the models used by the Market Risk are validated/vetted based on the existing model risk corporate standard and complied with the internal, external and regulatory requirements.
Relationship Management (3%)
• Partner with the lines of business to enhance understanding of model risks and ensure transparency of the models used in Market Risk
• Provide an effective ongoing support to Market Risk so that there are always a mutual understanding and respect between MRV and Market Risk
• Keep connected with internal/external peers
Managerial Leadership (3%)
• Motivate a team effort on independent benchmark development and implementation to facilitate ongoing vetting work.
• Support the Senior Manager to provide consistent coaching and technical guidance for junior employees.
Governance (4%)
• Communicate model risk issues to the lines of business to ensure identified model risks are understood and appropriate model risk mitigation actions implemented, escalating where necessary to Director and the Vice President, Model Risk and Vetting
• Assist the Senior Manager to ensure all models covered by the team are vetted and approved based on the existing Model Risk Corporate Standard.
• Review the Model Risk Corporate Standard on an annual basis with the Senior Manager and recommend revisions and changes to the Director and the VP, MRV.
Project Management (80%)
• Manage the assigned vetting/review project and ensure a timely delivery of the vetting report with high quality.
• Ensure actionable conditions and/or recommendations are issued in the vetting reports to help the lines of business enhanced the vetted models
• Provide regular updates on the assigned vetting/review, including a regular review of models/methodologies implemented and ensure that high model risk issues are raised and addressed at appropriate management level
Operational (5%)
• Ensure the MRV vetting operation process is followed end-to-end from assessing vetting requests for models, discussions with the business, prioritization for vetting, and completion of vetting and report
• Assist the Senior Manager to ensure that the actionable vetting conditions, scheduled vetting reviews and exception approvals are monitored, updated and approved according to the existing Corporate Standard
ICAAP (3%)
• Assist the Senior Manager, the Director and the VP, Model Risk and Vetting, to ensure all models applied to ICAAP are vetted and approved according to model risk corporate standards and ICAAP Validation Corporate Standard
• Keep abreast of industry development of EC and Stress testing methodologies
Group Representation (2%)
• Represent the MRV to provide vetting counterpart with the enterprise view on all quantitative, model risk issues relating to the models officially used by the Bank
Knowledge and Skills Required:
Knowledge:
•Solid background on financial theory and applied mathematics (stochastic calculus, statistics and Monte Carlo simulations etc)
•Excellent knowledge and understanding on risk models, valuation models and model vetting/validation processes –minimum 2 years experience in modeling or model validations. This includes General Market Risk models, Specific Risk Models, Incremental Risk Charge models, Counterparty Credit Risk models etc.
•Deep understanding of industry best practice and minimum regulatory requirements
•Overall 3 years experience in trading product valuation and risk management areas in a financial institution. May consider 2 years experience based on degree and research/intern/coop projects.
•Minimum Masters Degree, PhD. in a quantitative field e.g., Mathematical Finance, Mathematics, Statistics would be an asset.
Skills:
•Effective project and time management skills
•Efficient communication and relationship management skills
•Solid computer programming (C++, Matlab, Visual Basic etc) and quantitative skills (stochastic calculus, statistics, PDE and Monte Carlo simulation etc)
At our company, we have been helping our customers and communities for over 195 years. Working with us means being part of a team of talented and passionate individuals with a shared focus on working together to deliver great customer experiences. We stand behind your success with the support you need to turn your potential into performance.
To find out more visit our website at www.bmo.com/careers.
BMO Financial Group is committed to an inclusive, equitable and accessible workplace. By embracing diversity, we gain strength through our people and our perspectives.
To apply, please visit:
https://bmo.taleo.net/careersection/external_jobdescription/jobdetail.ftl?job=1400018132
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