Structural Market Risk Analyst — Quant Modeling

Bank of Montreal; Chicago (IL); On-site; USD 69,000 - 128,000; Full time

Benefits offered by this job

Health insurance

Tuition reimbursement

Retirement savings plan

Life insurance

Job summary

Bank of Montreal is seeking a Senior Analyst in Structural Market Risk to advance modeling methodologies for managing structural market risks across portfolios and products. The role focuses on developing SMR models, coordinating testing, and documenting assumptions and outputs for oversight teams.

The candidate will interact with lines of business to understand product terms, optionality, and customer behavior, while ensuring compliance with policies and risk governance.

Qualifications

• Experience in Finance with exposure to Asset Liability Management or Market Risk Management.
• Experience implementing behavioral models in the QRM Framework or similar software.
• Familiarity with fixed income, derivatives, or loan valuation with embedded options.
• Knowledge of Funds Transfer Pricing for bank products with optionality.
• Degree in Finance, CS, Economics, Financial Engineering or related quantitative discipline.

Responsibilities

• Develop and implement SMR models including embedded options valuation and earnings-at-risk methodologies.
• Collaborate with product owners to understand product terms, optionality, and customer behavior.
• Coordinate model testing and documentation across Market Risk, Model Risk, and Audit groups.
• Conduct back-testing, stress-testing and benchmarking to ensure model effectiveness.
• Prepare analyses for improvements in models and corresponding risk processes.

Skills

Excel

SQL

VBA

Python

Financial modelling

Stochastic rates

Analytical skills

Communication skills

Team collaboration

Problem solving

Education

Finance/Economics/Financial Engineering degree

Tools

QRM Framework

Job description

Bank of Montreal is seeking a Senior Analyst in Structural Market Risk to advance modeling methodologies for managing structural market risks across portfolios and products. The role focuses on developing SMR models, coordinating testing, and documenting assumptions and outputs for oversight teams.

The candidate will interact with lines of business to understand product terms, optionality, and customer behavior, while ensuring compliance with policies and risk governance.