Risk Modeling Director

4 weeks ago

Toronto, Ontario, Canada OMERS Full time

Empower Your Impact with OMERS

At OMERS, we're committed to creating a workplace where employees thrive. We're a purpose-driven, dynamic, and sustainable pension plan that embodies the values of our 600,000+ members. Our goal is to support the achievement of OMERS business objectives by overseeing the actions undertaken by Management to address key investment, pension, governance, and legal, operational, people, and strategic risks in an integrated and holistic manner.

Risk Modeling Team Overview

The Risk Management Team's mandate is to support the achievement of OMERS business objectives by overseeing the actions undertaken by Management to address key investment, pension, governance, and legal, operational, people, and strategic risks in an integrated and holistic manner. We strive to help OMERS understand and actively decide upon the risks we're taking in the pursuit of our business objectives.

Key Responsibilities

  • The recommendation, research, oversight, and implementation of all risk modeling inputs used in our Risk System (MSCI Risk Manager), including:
  • Standard models for public asset classes such as equities, credit, and bonds.
  • Derivatives, including forwards, options, and swaps.
  • Private asset class models (e.g., factor-based, proxy, or bespoke approaches) for private credit, real estate, private equity, and infrastructure.
  • Oversight of the risk settings used in our risk system to generate scenario outputs and calculate risk metrics such as VaR.
  • Effectively interpret and communicate the drivers behind model outputs to stakeholders, ensuring clarity and understanding of risk metrics and their implications.
  • Advise on the modeling inputs used in our third-party Asset Liability tool (ORTEC Glass).
  • The development of a framework for documentation, calibration, validation, and testing that regularly ensures risk models used are appropriate and fit for purpose.
  • The maintenance and governance of an inventory of risk modeling and risk settings decisions used to generate analytics for the Risk Management team, ensuring that all risk modeling activities comply with model risk management standards.
  • Developing a key relationship between OMERS and our third-party vendors MSCI and ORTEC.
  • Providing support and/or guidance for model validation exercises for non-Risk models used across the organization.
  • Development of a framework to evaluate modeling options quantitatively (e.g., statistical tests) and based on implementation constraints.
  • Stakeholder communication of our risk modeling choices and recommendations, particularly with the Risk Leadership Team.
  • Managing an internal team dedicated to Risk modeling, providing guidance and support to enhance their skills and performance.

Requirements

  • Education in Finance, Economics, Statistics, Mathematics, or a related field. FRM or CFA designation is an asset.
  • At least 7-10 years of experience in Risk Modeling, Risk Management, or Risk-adjacent role.
  • Deep expertise in modeling financial instruments, both public and private, and a history of success in the design, development, and implementation of advanced risk models to identify, measure, and manage risks associated with investments.
  • An ability to work with large datasets and a familiarity with statistical methods.
  • Familiarity with third-party risk systems. Experience with MSCI's Risk Manager is an asset.
  • Strong analytical skills, with the ability to interpret, explain, and effectively communicate the key drivers and assumptions behind risk model outputs to both technical and non-technical audiences.

OMERS is an Equal Opportunity Employer

We are an equal opportunity employer committed to an inclusive, barrier-free recruitment and selection process that extends all the way through your employee experience. This sense of belonging and connection is cultivated up, down, and across our global organization thanks to our vast network of Employee Resource Groups with executive leader sponsorship, our committee, and employee recognition programs.

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