About this role

Supports the research, development, and enhancement of quantitative risk models that measure and manage structural market risk across the Bank’s portfolios.
Develops and implements methodologies for products with contractual maturities and embedded optionality.
Collaborates closely with lines of business, other Corporate Treasury teams and oversight partners to strengthen the Bank’s SMR framework.
Coordinates the development, enhancement, and implementation of SMR models with the quantitative modeling team.
Conducts quantitative analyses to support FTP rate components, including option costs, prepayment rates, and product cash-flow characteristics.
Defines reporting requirements and designs and produces dashboards, analytics, and ad-hoc reports supporting SMR decision-making.

5-7 years of experience in Asset Liability Management, Market Risk Management or related quantitative risk domains.
Experience running the QRM Asset Liability Management Framework (or similar ALM software), including configuring, testing and implementing behavioral models.
Experience in fixed income, derivatives and valuation of instruments with embedded options.
Demonstrated understanding of FTP methodologies, stochastic valuation techniques and loan prepayment modeling.
Post-secondary degree in a relevant field; advanced degree in quantitative disciplines (e.g., Computer Science, Mathematics, Physics, Engineering, Statistics, Finance) preferred.
Professional designations in finance or risk (e.g., FRM, CFA) preferred.
Advanced proficiency with Excel, SQL, VBA, and Python; knowledge of AI prompting best practices.
Experience with risk management, financial market products, valuation and balance sheet/ALM functions.
In-depth understanding of quantitative modeling, statistics, financial metrics and data-driven decision-making.

Manager, Structural Market Risk

Key skills