Manager, Credit Risk Modeling

Bank of Montreal
Toronto, Canada
Aug 24, 2019
Sep 07, 2019
Job Function
Industry Sector
Finance - General
Employment Type
Full Time

The role is accountable for designing and developing new methodology, enhancing, and maintaining current methodology for wholesale credit risk model - for lending portfolios in US and Canada-, including stress test models used for compliance to regulatory requirements such as Comprehensive Capital Analysis and Review (CCAR) in US, Internal Capital Adequacy Assessment Process (ICAAP) and Macro-Stress Test (MST) in Canada, as well as IFRS9 and CECL models required to accomplish the monthly reserve calculation. The role is also accountable for methodology and models used by line of businesses to assess risks under stress scenarios and plan business strategies accordingly. The role provides methodology supports to standard and ad-hoc requests from regulators, and undertakes research and innovation activities for benchmarking and keeping up with industry best practices regarding credit risk methodology.


A. Methodology for wholesale credit risk, including model development, implementation, performance monitoring, and overall maintenance
B. Methodological support to Stress testing program and underlining infrastructure
C. Research, innovation, and Bechmarking, and validation of vendor models
D. Relationship Management


A. Methodology for wholesale credit risk portfolios, including model development, implementation, performance monitoring, and overall maintenance

• Under the direction of the Director, Credit Risk Models:

• Develop, document, enhance and implement credit risk models for wholesale portfolios covering legal entities (US, Canada, Europe, Asia) and across the enterprise
• Develop model performance metrics and insure all credit models in production perform within acceptable ranges set in the model monitoring and triggers reviews framework

• Assist the Director:
• With Key regulatory related activities to ensure appropriateness, robustness and completeness of the quantification framework for ICAAP, CCAR, and MST.
• In partnering with different Risk groups across lines of business and relevant stakeholders for model design, output usage, feedback and, end-to-end activities
• In building processes and improving current stress testing, IFR9/CECL methodology to meet all business and regulatory developments and constraints

B. Methodological support to Stress testing/IFRS9/CECL program and underlining infrastructure

• Partner with the Risk Reporting and Portfolio Management group during ICAAP, CCAR, and MST activities to support the quantification and analysis of all relevant risks
• Provide methodological support to the enterprise stress testing and IFRS9/CECL programs and in designing, implementing, and validating the underlining models and their outputs

C. Research, innovation, and Bechmarking

• Under the direction of the Director

• Conduct innovative reseach and benchmarking to keep informed of leading research and industry best practices and critically evaluate, develop and deploy systematic methodology improvements.
• Validate methodologies of vendor purchased models and tools and related infrastructure to ensure all business and compliance requirements are met

D. Relationship Management

• Build effective relationships with internal/external stakeholders including model validation and governance, line of businesses, Audit, and regulators; Supports the execution of strategic initiatives in collaboration with internal and external stakeholders
• Ensures alignment across stakeholders and customers about business needs, analytical tools, and process efficiencies.

a) Qualifications:
• Graduate degree in a quantitative discipline Masters or Ph.D. (Mathematics, Statistics, Finance, Economics/Econometrics, Physics, Engineering, or equivalent). A relevant professional designation (e.g. FRM, CFA) may also be a plus
• Four or more years of relevant business experience in credit and/or market risk,
• Good knowledge of Basel framework and regulatory requirements (Basel II, III, Regulatory capital, Stress Testing)
• Knowledge of Corporate/Commercial lending portfolios and credit risk modelling including Basel parameters estimation (PD, LGD, EAD, correlation)
• Knowledge of Bank's products, procedures, processes, and data
• Understanding of interplays of changes in economic and financial environments on credit risks
• Good knowledge of database structure and data mining

b) Skills
• Competency in working with databases, statistical and programming tools including at least three of the following: SAS, Matlab, R, VBA, SQL, python, etc.
• Proficiency in numerical methods including Monte Carlo simulation and bootstrapping techniques,
• Capacity to blend quantitative/theoretical thinking to resolve most technical and conceptually ambiguous issues/situations with sound business judgement
• Ability to work both independently and as part of cross-functional teams in a dynamic environment and undertake, execute and deliver on time multiple concurrent projects
• Excellent written and verbal communications with an ability to communicate and articulate coherent complex concepts or arguments with clarity, including good presentation skills
• Strong ability to manage relationships with business partners

We're here to help

At BMO we have a shared purpose; we put the customer at the centre of everything we do - helping people is in our DNA. For 200 years we have thought about the future-the future of our customers, our communities and our people. We help our customers and our communities by working together, innovating and pushing boundaries to bring them our very best every day. Together we're changing the way people think about a bank.

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.

To find out more visit us at .

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.

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