FRTB Quantitative Developers (2)
Job Description:
The FRTB Program Model Developer role requires a dedicated self-starter who is capable of original work, enjoys quantitative analysis, programming, and has skills to interact with experienced Risk and Front Office subject matter experts.
The FRTB Program Model Developer will work closely with Market Risk Model Group to create proprietary FRTB models to support BMO compliance to the new Market Risk Capital Rules (Fundamental Review of Trading Book – FRTB). This includes working hand in hand with Market Risk and Capital Markets Technology consultants to develop and code both Standardized and Internal models on BMO Risk Platform including translating FRTB requirements/equations/mappings into near-production ready code.
Responsibilities
• Analysis and translation of FRTB requirements/equations/mappings into near-production ready model design and code
• Development and testing of FRTB SA Models (SBM, DRC, RRAO)
• Development and testing of FRTB IMA Models (IMCC, Back testing, DRC, NMRF, PLA)
• Assist and support NMRF analysis and solution design including deciding how to classify risk factors as modellable/non-modellable
• Coding in C# for impact analysis for different universe of FRTB Risk Factors (RF)
• Coding in C# for bucketing analysis for modellable RF and impact on P&L attribution test, ES capital, and NMRF
• Coding in C# for NRMF & IMA capital analysis considering the above
• Interface with Upstream and Downstream team leads to ensure smooth data transitions and define comprehensive unit test coverage
• Collaborate with Market Risk, Market Risk Infrastructure and Capital Markets Technology teams to establish best practices, identify optimal technical solutions
Must (as many categories as possible):
• PhD or Master/Bachelor’s degree in computer science, applied math, data science or related technical degree
• Basel Regulations (Basel III, FRTB) experience
• Strong knowledge and experience in C#
• Knowledge of MFL is desirable
• Valuation and Risk Management exposure
• Service Oriented API development experience
• 5+ years of work experience in large teams, in financial services industry, particularly performing model design and development
• Strong SQL and exceptional MS Excel skills
• Hands on experience with testing / mocking framework
• Good communicator who asks questions and is also self-motivated, focused, and is continually setting goals