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Senior Advisor Market Risk Models

Apply now Job ID 21747409376 Date posted 01/13/2022

Primary Locations: Montreal, Quebec

Employee Status: Regular

Schedule: Full-time


The Market Risk Department’s Market Risk Models team is responsible for market risk models, governance involving them as well as regulatory and strategic initiatives for the department such as FRTB (Fundamental Review of the Trading Book).

Financial markets are constantly changing. Banks’ regulatory framework continues to evolve, with major changes such as FRTB and the LIBOR transition. At the same time, strategic initiatives to improve the portfolio of products available to the Bank’s Financial Markets clients and market risk models continue to accelerate.

Are you interested in contributing to several large-scale projects to ensure the Bank is aligned with the latest developments to the regulatory framework and working closely with the various groups in Financial Markets to implement new models and products?

Working in a stimulating environment in close cooperation with partners and focusing on achieving shared objectives for projects, you will have immediate exposure to a quantitative field, with opportunities for future growth in your responsibilities.

This position reports to the Senior Manager –  Market Risk Models, who is seeking a disciplined candidate, with an analytical mindset and a proven ability to find solutions in a context in which deadlines can be tight.

Your main challenges:

  • Take part in various projects related to bank regulations concerning market risk
  • Work in cooperation with various stakeholders and partners with highly varied mandates and expertise, including the Front Office, Operations and IT
  • Learn and become familiar with the various risk measurement systems used by the Bank
  • Show an ability to increase expertise and adapt the role played within the department
  • Serve as an expert for the Market Risk Models team as part of the FRTB and LIBOR transition project
  • Analyze, document and validate the risk measurement methodologies (VaR, stressed VaR, stress tests and initial margin)
  • Contribute actively to the continuous improvement of various market risk models
  • Actively participate in developing and growing the Bank by serving as an expert for implementing new Financial Markets products


Your profile:

  • Bachelor’s degree in a scientific field (engineering, actuarial science, statistics, mathematics), and five years of relevant experience or a Master’s degree in a field related to financial markets (finance, financial engineering, economics), and three years of relevant experience.
  • Excellent knowledge of derivatives, financial asset valuation theory, market risk calculation concepts and methods (Greeks, VaR, stress tests) required.
  • Experience with the Murex system and its risk module are required.
  • Knowledge of the regulatory framework regarding the trading portfolio, an asset.
  • Experience in developing/validating market risk models, an asset.
  • Proficiency in programming languages Python, Matlab, VBA, an asset.
  • Excellent organizational skills and attention to detail.
  • Professional designation in finance and/or risk management (CFA, FRM, PRM), an asset.
  • Bilingualism, both spoken and written (English and French) required.

Your benefits

Upon hiring, you will be eligible for a wide range of benefits. In addition to competitive compensation, we offer attractive benefits for you and your family:

  • Health and wellness program, including many benefits
  • Flexible group insurance
  • Defined benefit pension plan
  • Employee Share Ownership Plan
  • Employee and family assistance program
  • Preferred banking services
  • Volunteer program
  • Telemedicine
  • Virtual sleep clinic

These are just a few of the many benefits we offer. We've rolled out a number of additional measures to ensure your health, safety and wellbeing during the pandemic. 

Our dynamic work environments and cutting-edge collaboration tools foster a pleasant employee experience.  We value employees' ideas and use surveys and other programs to encourage feedback and ongoing communication.

We're putting people first

We're a bank on a human scale that stands out for its courage, entrepreneurial culture, and passion for people.   Our mission is to have a positive impact on peoples' lives.

Our core values of partnership, agility, and empowerment inspire us,  and inclusivity is central to our commitments. We offer a barrier-free workplace that is accessible to all employees. 

We want our recruitment process to be fully accessible. If you require accommodations, feel free to let us know during your first conversations with us.

We welcome all candidates! What can you bring to our team?

Ready to live your ambitions?

#LI-CB1

JobField: Risk Management

Unposting Date: 2022-01-27

Job Number: RIS0017P

Posting Date: 2022-01-13

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