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I recently heard of three quant opportunities in Chicago, these openings aim't finalized yet as of today, but please act ASAP if you're interested. These openings are in the Model Risk & Vetting group of Bank of Montreal, they're expanding in Chicago. Bank of Montreal is the first founded bank and currently one of the largest in Canada, it's Model Risk & Vetting group is a leader of the industry in Canada. The job descriptions are outlined and pasted below, and full descriptions are attached. If you're seriously interested, please contact the Director Ms. Huang at lee.huang@bmo.com directly. Regards.
----------------------------Job Outlines-------------------------- 1.
Job Title: Senior Manager of Wholesale Credit Scope:
• Manage about 3-5 FTE plus 1-3 contractors
• Work with wholesale model developers (about 10 developers) in the bank and cover the vetting of the following types of models:
Wholesale credit risk models: credit risk ratings and parameter estimations, regulatory capital etc.
Vendors’ models such as KMV’s RiskCalc and LossCalc etc.
Product models (Valuation, Pricing etc.)
Major Decision-Making models
• Carry out the communications with various wholesale model users, including strategic and operational users, to ensure models covered by this team are properly used, the risks are well understood and mitigated Knowledge and Skills a) Knowledge:
• Advanced knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (EC, RC) and Stress Testing models, pricing and valuation models etc.;
• Extensive knowledge in data mining and statistical analysis techniques with minimum of five years of working experience; pertaining to credit risk modeling, particularly in wholesale credit risk modeling would be an asset
• In-depth knowledge of industry best practices and good understanding of Basel and other regulatory requirements on risk rating models and parameter estimation
• Good knowledge of wholesale credit management, lending process and credit process b) Skills:
• Strong ability of promoting a team-work spirit and building competent group
• Good people management skills, able to clearly provide direction, set up expectation, coach, inspire and motivate group members as well as independently deliver work assignments
• Effective project and time management in order to efficiently deliver concurrent projects with competing priorities
• Constructive conflict-solving ability; and ability to collaboratively work with model owner/sponsor counterparts
• Effective presentation and communication skills; Ability to convey complex concepts and outcomes to non-subject matter experts.
• Proficient programming skills (i.e. SAS, R, Matlab, VBA, etc.)
c) Education and Accreditations:
• Master degree in Statistics, Mathematics, Engineering, Economics, Finance and MBA etc.
• PhD in quantitative field or combination of quantitative and business degrees preferred
2.
Job Title: Senior Model Risk Specialist of ICAAP Model Vetting
Scope: The main job of this incumbent is to vet the models in the following areas:
• ICAAP related models such as stress testing models, economic capital models and AMA
• Credit portfolio risk management related models such as capital allocation, RORAC, general allowance model, risk aggregation and diversification etc.
• Vendors’ models such as Risk Frontier, Credit Monitor and Dealer Analyzer etc.
• Major Decision-Making models Knowledge and Skills a) Knowledge:
• Good knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (EC, RC) and stress testing models, pricing and valuation models etc.
• Advanced knowledge of quantitative data mining and statistical analysis techniques with minimum of three years of working experience; pertaining to stress testing models, and AMA modeling would be an asset
• Advanced knowledge of credit portfolio management and measurement techniques (methodologies of economic capital, capital allocation, RORAC, general allowance model, risk aggregation and diversification etc.) and tools such as CreditMetric, KMV Credit Monitor, KMV Portfolio Manager, KMV Risk Frontier etc.
• In-depth knowledge of industry best practices and good understanding of Basel and other regulatory requirements on ICAAP b) Skills:
• Detail-oriented, analytical, well organized, highly self-motivated and good interpersonal skills
• Effective time management in order to efficiently deliver concurrent projects with competing priorities
• Good ability of conflict-solving; and ability to collaboratively work with model owner/sponsor counterparts
• Effective presentation and communication skills; Ability to convey complex concepts and outcomes to non-subject matter experts.
• Excellent computing development skills, particularly statistical and database modeling tools (SAS, R, MATLAB, Access/VBA etc.), ability to adapt to various programming languages and environments
c) Education and Accreditations:
• Master degree in Statistics, Mathematics, Engineering, Economics, Finance and MBA etc.
• PhD in quantitative field or combination of quantitative and business degrees preferred
3.
Job Title: Senior Model Risk Specialist of Wholesale Credit Risk Model Vetting
Scope: The main job of this incumbent is to vet the models in the following areas:
• Wholesale credit risk models: credit risk ratings and parameter estimations, regulatory capital etc.
• Vendors’ models such as KMV’s RiskCalc and LossCalc etc.
• Product models (Valuation, Pricing etc.)
• Major Decision-Making models Knowledge and Skills a) Knowledge:
• Good knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (EC, RC) and stress testing models, pricing and valuation models etc.
• Advanced knowledge of quantitative data mining and statistical analysis techniques with minimum of three years of working experience; pertaining to credit risk modeling, particularly in wholesale credit risk modeling would be an asset
• In-depth knowledge of industry best practices and good understanding of Basel and other regulatory requirements on risk rating models and parameter estimation • Knowledge of wholesale credit management, lending process and credit process as an asset b) Skills: • Detail-oriented, analytical, well organized, highly self-motivated and good interpersonal skills
• Effective time management in order to efficiently deliver concurrent projects with competing priorities
• Good ability of conflict-solving; and ability to collaboratively work with model owner/sponsor counterparts
• Effective presentation and communication skills; Ability to convey complex concepts and outcomes to non-subject matter experts.
• Excellent computing development skills, particularly statistical and database modeling tools (SAS, R, MATLAB, Access/VBA etc.). Ability to adapt to various programming languages and environments. Advanced SAS proficiency is required c) Education and Accreditations:
• Master degree in Statistics, Mathematics, Engineering, Economics, Finance and MBA etc.
• PhD in quantitative field or combination of quantitative and business degrees preferred
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