Manager, Credit Risk Model Validation

100 King Street West Toronto Ontario,M5X 1A1

Seeking a skilled and experienced professional to join our Model Risk Management Team as a Manager, Model Risk, Credit Risk. As a Manager in our second line of defense risk management, governance, and control function, you will play a pivotal role in the validation of credit risk models, such as Allowance (IFRS 9 /CECL/loss forecasting) models, Stress Testing (CCAR/EWST) models and other regulatory initiatives (retail AIRB, wholesale borrower risk rating models). Experience in other credit risk families, such as credit adjudication and account management models, is also relevant. This is an individual contributor role.

Key Role Responsibilities:

- Model Risk Review and Effective Challenge: You perform the validation of models, other estimation approaches and critical tool calculators and assess the model risk to confirm model appropriateness and capability for a designated portfolio. You are responsible for providing effective challenge to the credit risk models during model development and communicating decisions regarding model use to the business to ensure transparency and understanding of models and model risks. You assess the models’ capabilities, stress points and limitations; you assess the associated model risk and the controls in place to mitigate identified risks.
- Stakeholder Engagement: Effective communication is crucial in this role. You will manage relationships with model developers, owners, and users, influencing and advising on model risk-related matters. Your ability to explain complex technical concepts in everyday language will set you apart.
- Change Management: BMO is at the forefront of innovation in model risk management. You will be part of the team that drives change by embracing new technology platforms, tools, and operating models.
- Risk Understanding: You will need to connect the dots between technical issues and business considerations.

What we are looking for;
- A MSc or PhD in quantitative fields such as statistics, applied mathematics, financial mathematics, data science, actuarial sciences, electrical engineering, or related fields.
- A minimum of 4 years of experience in model validation and/or development within a financial institution, particularly in the credit risk area.
- Certifications: While qualifications like CFA are helpful, they are not mandatory.
- Experience in credit risk models, including Stress Testing & loss forecasting, AIRB and Adjudication/Account Management.
- Proficiency in a programming language such as Python, R, and SAS (Python is preferred).
- Proficiency in working with relational databases - SQL or Oracle.
- Working with Big data tools and Cloud platforms (AWS/Azure) is a plus.
- A can-do attitude and a research, deep-dive mindset.

Performs validation of models and assesses model risk to confirm model appropriateness and capability for a designated portfolio. Provides effective challenge during model development and communicates decisions regarding model use to the business to ensure transparency and understanding of models and model risks. Assesses model’s capabilities, stress points and limitations; assesses the associated model risk and the controls in place to mitigate identified risks.
- Acts as a trusted advisor to assigned business/group.
- Influences and negotiates to achieve business objectives.
- Recommends and implements solutions based on analysis of issues and implications for the business.
- Assists in the development of strategic plans.
- Identifies emerging issues and trends to inform decision-making.
- Researches existing or emerging requirements & related best practices to assist and develops recommendations for changes/enhancements.
- Helps determine business priorities and best sequence for execution of business/group strategy.
- Conducts independent analysis and assessment to resolve strategic issues.
- Supports development and execution of strategic initiatives in collaboration with internal and external stakeholders.
- Represents the model validation program / portfolio for internal/external regulatory audits and/or examinations.
- Ensures alignment between stakeholders.
- Builds change management plans of varying scope and type; leads or participates in a variety of change management activities including readiness assessments, planning, stakeholder management, execution, evaluation and sustainment of initiatives.
- Leads the research and development for validation of new types of models.
- Leads and integrates the monitoring, measurement & reporting of the status of the model validation program / portfolio to internal & external stakeholders.
- Provides input into the planning and implementation of ongoing operational programs in support of the model vetting framework and portfolio.
- Leads/participates in the design, implementation and management of core business/group processes.
- Develops validation strategies and plans to ensure appropriate type and level of vetting