Market Risk Management Jobs in Chicago, IL (NOW HIRING)

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The Manager, Structural Market Risk (SMR) supports 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. This role develops and implements methodologies for products with contractual maturities and embedded optionality, ensuring risks are accurately identified, measured, and integrated into effective risk management practices. The role collaborates closely with lines of business, other Corporate Treasury teams and oversight partners to strengthen the Bank's SMR framework.

Key Accountabilities:

Model Development & Implementation

• Coordinate the development, enhancement, and implementation of SMR models with the quantitative modeling team, including valuation of embedded options, customer behavioral models, and Earnings-at-Risk/economic valuation methodologies.

• 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 nonmodel assumptions meet Bank policies, standards, and regulatory requirements.

• Perform ongoing backtesting, stresstesting, and benchmarking activities, recommending refinements to maintain model effectiveness.
  

Assumption Governance & Analytical Support

• Develop, validate, and periodically review key nonmodel 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 cashflow characteristics.

• Ensure consistency in assumptions and methodologies across structural market risk, FTP, and hedging strategies.
  

Stakeholder Collaboration & Advisory

• 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.
  

Reporting, Data, and Process Optimization

• Define reporting requirements and design and produce dashboards, analytics, and adhoc reports supporting SMR decisionmaking.

• 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.
  

Strategic Projects & Change Management

• 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 nonroutine risk and modeling challenges.

Qualifications

• 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.

• Postsecondary 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.

• Indepth understanding of quantitative modeling, statistics, financial metrics and datadriven decisionmaking.

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

Salary:

Pay Type:

The above represents BMO Financial Group's pay range and type.

Salaries will vary based on factors such as location, skills, experience, education, and qualifications for the role, and may include a commission structure. Salaries for part-time roles will be pro-rated based on number of hours regularly worked. For commission roles, the salary listed above represents BMO Financial Group's expected target for the first year in this position.

BMO Financial Group's total compensation package will vary based on the pay type of the position and may include performance-based incentives, discretionary bonuses, as well as other perks and rewards. BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans. To view more details of our benefits, please visit:https://jobs.bmo.com/global/en/Total-Rewards

About Us

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact. We strive to help you make an impact from day one - for yourself and our customers. We'll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we'll help you gain valuable experience, and broaden your skillset.

To find out more visit us at http://jobs.bmo.com/us/en

BMO is proud to be an equal employment opportunity employer. We evaluate applicants without regard to race, religion, color, national origin, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity, gender expression, transgender status, sexual stereotypes, age, status as a protected veteran, status as an individual with a disability, or any other legally protected characteristics. We also consider applicants with criminal histories, consistent with applicable federal, state and local law.

BMO is committed to working with and providing reasonable accommodations to individuals with disabilities. If you need a reasonable accommodation because of a disability for any part of the employment process, please send an e-mail to BMOCareers.Support@bmo.com and let us know the nature of your request and your contact information.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.