Senior Risk Analyst, Counterparty Credit Risk

at  BMO Financial Group

GENERAL ACCOUNTABILITIES

• Supports the research and development of quantitative risk modeling methodologies and related strategies in support of the management of risks arising from business/group portfolios and products.
• Applies knowledge of analytics algorithms and technologies to maintain forward looking models and analytic solutions that ensure risks are properly identified.
• The Candidate’s focus will be concentrated on counterparty credit risk measures, which are critical to business decisions, develop and improve key processes related to assessing and reporting of risk measures, and establish and maintain productive relationships with the lines of business (trading, risk oversight, portfolio management, and upper management).

SPECIFIC ACCOUNTABILITIES:

• Calculate counterparty credit risk on non-standard deals that present unique features in timeliness manner
• Understand and identify potential weakness of existing pricing models and trade processing; propose and test possible improvements adapted to counterparty credit risk constraints
• Liaise with trading, line of business, risk oversight, and operations to ensure proper deal understanding and to resolve any specific deal-related problems that may arise
• Provide assistance, guidance and management in ad-hoc projects within the group
• Develop and apply scripting/programming to automate processes which serve a variety of tasks ranging from data gathering to generating automated reports
• Work with Market Risk Oversight, Stress and Reporting team to delivery the regulatory reports and stressed exposure result

KNOWLEDGE AND SKILLS:

Describe the knowledge and skills required for successful performance. Refer to the Role Definition Guide for definitions.

Knowledge:

• Quantitative (mathematical and/or statistical and/or computer science);
• Finance;
• Economics;
• Financial markets and products;
• Programming – Proficient with Python. Better to know Django, PowerBI, SQL, and VBA;
• Understanding and experience with risk management methodologies and measurements systems;

Skills:

• 1 and up years of related work experience, preferably in a financial institution
• MSc in a technical field, i.e., quantitative finance, statistics, engineering, applied mathematics
• Excellent analytic and troubleshooting skills
• Good technical and computer skills
• Excellent oral and written communication skills
• Ability to meet deadlines
• Strong critical thinking skills
• Good understanding and experience with risk management methodologies, financial markets and products
• Ability to work in teams

Applies mathematical and statistical methods to financial and risk management problems (e.g. internal controls; enterprise-wide stress testing and scenario analysis; capital modelling; valuations). Through quantitative analytical modelling, identifies important factors to consider for financial disaster and recovery plans. Conducts research and creates tools that use data to develop scenario-based planning and implements complex mathematical models to help the business make better financial and financial decisions (e.g. investments, pricing, etc.), drive innovation and minimize the impact of uncertainty.

• Develops pricing and quantitative risk models for an assigned portfolio e.g. fixed income, corporate credit and loans.
• Monitors risk in strategies and portfolios alongside project managers or functional leads.
• Conducts research and develops tools that use data to make better financial decisions; such as: investments, pricing, etc.
• 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.
• Focus is primarily on business/group within BMO; may have broader, enterprise-wide focus.
• Exercises judgment to identify, diagnose, and solve problems within given rules.
• Works independently on a range of complex tasks, which may include unique situations.
• Broader work or accountabilities may be assigned as needed.

QUALIFICATIONS:

Foundational level of proficiency:

• Regulatory capital and stress testing.
• Compliance and regulation.
• Machine learning.
• Learning Agility.
• Systems Thinking.
• Model risk management.
• Data visualization.
• Data wrangling.
• Data preprocessing.
• Critical thinking.
• Driving Results.

Intermediate level of proficiency:

• 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 4 - 6 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.

This role has direct or in-direct impact on the following financial measures:

• Counterparty credit risk exposure measurements
• Economic and regulatory capital