Senior Manager, Structural Market Risk

Role Overview

• Coordinate the development and implementation of SMR behavioral models, including embedded option valuation and earnings/economic value methodologies
• Liaise with lines of business and product owners to fully understand product terms, embedded optionality, and customer behaviors that influence model design
• Collaborate with Corporate Treasury teams to review and design behavioral models that can be implemented efficiently in QRM across SMR, FTP, and Planning/Forecasting use cases
• Coordinate model implementation and testing with QRM Architecture, SMR Analytics & Reporting, and model development teams
• Develop and maintain robust model and non-model assumption documentation, including methodologies, testing, and impact analysis
• Provide comprehensive documentation and lead responses during Market Risk and Model Risk oversight review and challenge processes
• Ensure compliance with all model risk and market risk policies, standards, and governance frameworks
• Lead ongoing model monitoring, including back-testing, benchmarking, and stress-testing, recommending refinements as appropriate
• Create, periodically review and refine non-model assumptions driving valuation, earnings forecasts, and customer behavior estimates
• Develop quantitative analyses and processes supporting FTP components such as option costs, prepayment rates, weighted average lives, and related product cash-flow characteristics
• Ensure alignment of assumptions and methodologies across SMR, FTP, and hedging strategies within Corporate Treasury’s Asset Liability Management framework
• Provide SMR subject matter expertise to senior leaders on risk methodology, product design implications, and regulatory requirements
• Lead responses to recommended changes or findings from Market Risk, Model Risk, Internal Audit, External Audit, and regulators
• Build strong relationships with internal/external stakeholders, incorporating industry best practices and competitive insights to enhance SMR capabilities
• Participate in projects focused on optimizing SMR measurement, reporting, hedging strategies, and risk management processes
• Define analytical and reporting requirements to support decision-making; produce dashboard reporting and ad-hoc analysis
• Ensure alignment and integration of data across systems in accordance with data governance standards
• Collaborate with data owners to source, validate, and integrate internal and external datasets relevant to SMR modeling
• Monitor market conditions, identifying impacts to model performance, assumptions, and overall SMR metrics
• Provide strategic input to business decisions and contribute to roadmaps for model, assumption, and methodology enhancements
• Lead or participate in change management initiatives, ensuring effective execution, communication, and sustained enhancements
• Apply expert judgment to solve complex, ambiguous analytical and risk-related challenges

Requirements

• Typically 7+ years of relevant experience with a post-secondary degree or equivalent mix of education and experience
• Advanced degree in quantitative disciplines and/or professional finance/risk designations preferred
• Strong proficiency in Excel, SQL, VBA, and Python
• Strong in-depth experience using the QRM Asset Liability Management Framework or similar software
• Previous experience implementing behavioral models in the QRM Framework or similar software
• Previous experience in fixed income, derivatives, or loan valuation, including instruments with embedded options
• Strong knowledge of Funds Transfer Pricing best practices for bank products with embedded optionality
• Strong understanding of loan prepayment modelling and cash-flow waterfalls from structured mortgage-backed securities and other asset-backed securities
• Strong knowledge of stochastic rate-path valuation concepts

Tech Stack

• Python
• SQL
• VBA

Benefits

• Health insurance
• Tuition reimbursement
• Accident and life insurance
• Retirement savings plans