Manager, Structural Market Risk

Role Overview

• Support the research, development, and enhancement of quantitative risk models that measure and manage structural market risk across the Bank’s portfolios in coordination with the quantitative modeling team
• Develop and implement methodologies for products with contractual maturities and embedded optionality, ensuring risks are accurately identified, measured, and integrated into effective risk management practices.
• Collaborate closely with lines of business, other Corporate Treasury teams and oversight partners to strengthen the Bank’s SMR framework.
• Coordinate the development, enhancement, and implementation of SMR models with the quantitative modeling team
• Perform model testing and coordinate model implementation across QRM Architecture, SMR Analytics & Reporting and model development teams.
• Maintain comprehensive documentation covering model assumptions, methodologies, testing and impact analyses.
• Ensure that models and non‑model assumptions meet Bank policies, standards, and regulatory requirements.
• Perform ongoing back‑testing, stress‑testing, and benchmarking activities, recommending refinements to maintain model effectiveness.
• Develop, validate, and periodically review key non‑model assumptions that drive valuation and earnings estimates.
• Provide subject matter expertise on behavioral modeling requirements, ensuring alignment across SMR, Funds Transfer Pricing (FTP), and corporate planning/forecasting.
• Conduct quantitative analyses to support FTP rate components, including option costs, prepayment rates, and product cash‑flow characteristics.
• Ensure consistency in assumptions and methodologies across structural market risk, FTP, and hedging strategies.
• Partner with business and product owners to understand product features, embedded optionality, and customer behavior drivers.
• Provide insights to senior leaders, offering strategic input on SMR methodologies, regulatory expectations, and risk impacts.
• Lead responses to review and challenge from Market Risk, Model Risk, Internal/External Audit, and regulators.
• Build strong relationships with internal and external stakeholders, contributing competitive insights and industry best practices.
• Define reporting requirements and design and produce dashboards, analytics, and ad‑hoc reports supporting SMR decision‑making.
• Manage and integrate data across relevant sources in compliance with data governance standards.
• Support the optimization of SMR measurement, reporting, and risk management processes, including supporting hedging strategy enhancements.
• Monitor the financial market environment and assess implications on model performance and structural risk metrics.
• Support strategic initiatives related to SMR, model improvements or Corporate Treasury processes.
• Develop business cases, recommend priorities, and recommend resource requirements to advance key initiatives.
• Facilitate change management activities, ensuring effective planning, execution, and sustainment of new processes, models or methodologies.
• Apply creativity and experience to address complex, ambiguous, and non‑routine risk and modeling challenges.

Requirements

• 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.
• Excellent communication, analytical, problem-solving, collaboration, and influence skills; ability to manage ambiguity and operate across the enterprise.

Tech Stack

• Python
• SQL
• VBA

Benefits

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