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Manager, Market Risk Proxies

Toronto, ON
Full Time
6 days ago
250 Yonge Street

Job Family Group:

Data Analytics & Reporting

General Accountabilities

In connection with the Capital Markets trading and underwriting portfolios, the Manager is responsible for ensuring the market risk measures (e.g. VaR) for these portfolios are materially accurate and where necessary, that market data proxies are established, monitored and controlled. In meeting this objective, the Manager will review, assess, and make recommendations with respect to the appropriate use of market data proxies.

In executing these activities, the Manager will manage relationships across the organization including the Trading Lines of Business, Market Data, Market Risk Operations, Market Risk Oversight, Market Risk Models, Model Risk and Vetting, Technology and Operations, Regulators, and External/Internal Auditors.

Specific Accountabilities
  • Identify and inventory market data proxies used in the VaR system.
  • Assess the impact of proxies on VaR/SVaR on a recurring basis based on regulatory requirement.
  • Back-test and analyze the effectiveness of proxies and proxy methodologies.
  • Onboard new products without sufficient market data history by defining appropriate proxies.
  • Propose remediation plan when current proxies are not performing well.
  • Maintain inventory of all current market data proxies including previous assessment results and proxy appropriateness track record.
  • Ensure new proxies and proxy changes are approved by all stakeholders in the Risk Approval Matrix.
  • Provide reporting and recommendation to senior management regarding proxy usage.
  • Maintain timely and effective communication with key stakeholders (Market Risk, Risk Models, and Front Office) regarding proxy usage.

  • 3 to 5 years of related work experience, preferably in a financial institution.
  • Experience working with Equities market data/valuation/risk would be an asset.
  • Proficiency in SQL and Python programming would be an asset.
  • Graduate degree in Math Finance, Statistics, or a quantitative field would be an asset.
  • Excellent understanding of capital market trading products, as well as related valuation/risk management principles and methodologies.
  • Excellent understanding of key market risk concepts such as VaR, Greeks, vol/correlation, historical VaR simulation, etc.
  • Hands-on experience with data vendor platforms such as Bloomberg.
  • Critical thinker with strong analytical and problem-solving skills
  • Excellent oral and written communication skills.
  • Proven ability to work independently as well as in a team setting.
  • Proven ability to prioritize multiple tasks and consistently meet deadlines while ensuring the highest work quality.
  • Comfort with ambiguity and ability to work with subject matter experts to fill information gaps.

Key Relationships
  • Trading Lines of Business
  • Market Data
  • Market Risk Operations
  • Market Risk Oversight
  • Market Risk Models
  • Model Risk and Vetting
  • Technology and Operations
  • Regulators
  • External/Internal Auditors

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At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact. We strive to help you make an impact from day one - for yourself and our customers. We'll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we'll help you gain valuable experience, and broaden your skillset.

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BMO is committed to an inclusive, equitable and accessible workplace. By learning from each other's differences, we gain strength through our people and our perspectives. Accommodations are available on request for candidates taking part in all aspects of the selection process. To request accommodation, please contact your recruiter.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.
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