Manager, Balance Sheet Market Risk - Toronto, ON

Is this role right for you?

In this role, you will:

Risk Reporting:

• Lead end-to-end preparation of the Bank’s U.S. Structural Interest Rate Risk (SIRR) report using BancWare, including data ingestion and validation, yield-curve construction and shock design, scenario execution, output reconciliation with front-office numbers, and production of regulator-ready templates and management commentary.
• Produce a quarterly risk report that synthesizes BancWare outputs and peer/market analysis to highlight trends, drivers and emerging risks in the Bank’s balance sheet.
• Develop and maintain automated production checks and exception-reporting that accelerate delivery while preserving accuracy and auditability.
• Oversee monitoring and evaluation of structural limits and control metrics that provide governance over Treasury functions, and prepare supporting analysis for senior management and regulators.

Risk Oversight/Governance:

• Participate in and lead elements of the group’s second-line oversight for structural interest rate risk using BancWare.
• Execute the monthly parallel run of Group Treasury’s BancWare model, performing an independent rebuild of balance-sheet cash-flow mappings, harmonizing assumptions, applying the same shock matrices, and reconciling KRD, NII and other metrics between first-line and second-line results. Document and escalate material variances for remediation.
• Conduct detailed KRD analytics within BancWare, including decomposition, attribution and sensitivity testing across tenor buckets and non-linear behaviors.
• Communicate directly with BancWare support for troubleshooting and resolution of process issues, coordinating system fixes and patches to ensure uninterrupted reporting and model integrity.
• Design and maintain model validation tests, change-control logs and regression suites to ensure ongoing model integrity and to support both internal audit and regulator enquiries.
• Act as a primary point of contact for cross-business line assumption setting (deposits, prepayments, behavioural parameters) and coordinate updates to ensure consistent inputs across front and second line.
• Maintain governance documentation: model design notes, run-books, reconciliation templates, testing results, and regulator-grade submission packages.

Enhancement of models and metrics

• Lead identification and specification of enhanced metrics and modelling refinements in BancWare (for example, customized KRD computation that captures specific customer behavior and curve dynamics).
• Implement improvements to strengthen risk capture and scenario representation (e.g., deposit decay/prepayment treatment, shock application logic, attribution outputs), and validate changes through back-testing and sensitivity analysis.
• Integrate BancWare outputs with the Bank’s analytics platform to enable downstream reporting, exception tracking and management dashboards while preserving audit trails.

Ad Hoc Projects

• Monitor applicability of OSFI B-12 and other regulatory standards, assess impact on ALM reporting and controls, and support remediation or uplift workstreams.
• Represent second line on cross-functional working groups and regulatory initiatives — preparing technical input, designing test cases and translating regulatory requirements into model controls and reporting artifacts.
• Accept and lead additional group projects and ad-hoc management reporting that require deep institutional modelling knowledge.

Do you have the skills that will enable you to succeed in this role? We'd love to work with you if you have:

• University degree in Finance, Economics, or quantitative field (finance, science, math, engineering).
• Master’s degree/FRM/CFA or working towards those certifications is an asset.
• Experience in asset and liability management.
• Proficiency with Bancware is required.
• Strong database and spreadsheet skills are required.
• Strong communication and writing skills are required.
• Familiarity with programing software like Python or Matlab; and visualization software like Tableau is required
• Familiarity with accounting principles and traded financial products is an advantage.
• Language of work: English.

What's in it for you?

• We have an inclusive and collaborative work environment that values curiosity & ownership, encourages pragmatic creativity (i.e. true innovation), and celebrates success!
• An inclusive working environment that encourages creativity, curiosity, and celebrates success!
• A rewarding career path with diverse opportunities for professional development
• Internal training to support your growth and enhance your skills
• A competitive rewards package that includes a base salary, a performance bonus, company matching programs on pension and profit sharing, paid vacation, personal & sick days, medical, vision and dental benefits that start from day one and much more!