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Director – Lending/Credit Risk Analytics
BMO Financial Group
Ontario Toronto, , Canada
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Mandate:
The purpose of this role is to direct and lead the execution of the 1st line of defense accountability for risk identification, risk appetite, scenario planning, stress testing, modeling, and capital-related portfolio analytics and reporting on behalf of the I&CB Corporate Banking lending line of business. The incumbent will work to effectively advise Corporate Banking and BMOCM on topics related to Economic & Regulatory Capital issues and practices, Basel and OSFI requirements, Stress-Testing best practices, and compliance with OCC’s Independent Risk Management, and Heightened Standards.
In addition, the role will provide monitoring and supervision on an as needed basis in the execution of portfolio analytics and portfolio-wide reviews, issue identification and problem-solving related to data and reporting.
Key Accountabilities:
The incumbent is accountable for performing or assisting in the following:
Risk Modeling and Analysis:
• Advise and counsel model owners in the development/review of:
◦ Models for credit risk stress testing and volumes forecasting for large corporate credit portfolio.
◦ Risk rating models for large corporate and sector specific models.
◦ Economic Capital and Risk-Return models.
◦ Risk based regulatory and economic capital measures including PD, LGD and EAD.
◦ Models for Charged EL, PCL and GA estimation, including IFRS9 and CECL.
• Act as a SME and relationship manager to relevant stakeholders (Model Development and Owner groups and Technology and Operations) in the implementation of the new models and of the changes to the existing models by participating in the Use Test and elaborating the model use operating procedures/training, as applicable.
• Keep abreast of (1) Basel and other regulatory developments (Base IV, IFRS9 and CECL) in order to understand the implications for the business, and work with other stakeholders to ensure capital level is commensurate with the risk, and (2) external credit risk measurement models (Moody’s RiskFrontier, Credit Edge, RiskCalc…) and provide support to internal users.
Portfolio Data Mininig and Analytics
• Acquire directly or indirectly internal historical portfolio and external data for benchmarking and data mining analysis.
• Advise and counsel Corporate Banking leadership with portfolio analytics for risk appetite, early warning indicators and dashboard, metrics and reporting.
• Analyze and interpret, from various internal data marts, the information needed for model development or review and for regular and/or ad-hoc portfolio analysis.
• Monitor and analyze opportunities for RWA optimisation, risk management improvement and recommend solutions.
Operational Support
• Provide methodological and operational SME support to portfolio mangers re risk parameters (PD, LGD, EAD), economic and regulatory capital estimates and risk return measures.
• Lead and conduct data quality review and enhancement activities as needed.
• Provide SME communication, guidance and training to bankers on methodologies/models and stress testing and other topics as needed.
Relationship Management
• Develops, manages and maintains relationships with stakeholders at all levels and with all relevant steering and working committees to ensure that the methodologies, model outputs, analyses and reports meet Senior Management needs, business requirements along with regulatory and internal rules.
• Manage assigned projects, providing expert input, portfolio infromation and value added support for initiatives.
Risk Management & Control
• Within the mandate of this role, responsible for the prudent management of the Bank’s exposure by promoting and supporting the Bank’s risk culture including ensuring employees understand their accountabilities for risk-taking activities, promoting an environment of open communication and effective challenge, and establishing the “tone from the top” through leading by example. The role is accountable for complying with the Bank’s Risk Appetite framework and ensuring risk-taking activities remain within agreed limits and comply with all regulatory requirements.
• Within the mandate of this role, take action to reduce risk by ensuring risk taking falls within the risk appetite of the Bank and internal controls are in place and functioning effectively to support management decision-making that protects our assets and adheres to applicable corporate policies, operating directives, laws and regulations.
• Makes decisions based on a strong understanding of risks effectively evaluates risk-return trade-offs, and proactively takes accountability for risks assumed
Qualifications
Knowledge:
• Preference for:
◦ Graduate degree in a quantitative discipline MSc, MMF or Ph.D. ideally with a relevant professional designation (e.g. FRM, CFA).
◦ Eight to ten years of relevant business experience in credit risk assessment including risk management (Basel I to III, Economic Capital, Stress Testing, RAROC…).
◦ Strong knowledge of credit risk modeling including Basel parameters (PD, LGD, EAD).
◦ Knowledge of the Bank’s products, procedures, processes, data and risk management requirements.
◦ Knowledge of Bank’s structure, businesses, operations and information systems.
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.
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.