Senior Model Risk Manager, Capital Markets

Job description

At ATB, we exist to make it possible for our clients, team members and communities. Our purpose is more than aspirational. It's a real commitment we live every day through our values (what we call the [ATB ID](https://www.atb.com/company/careers/why-atb/our-values/)). Life at ATB is about more than work. In fact, we’re consistently recognized as one of [Canada's top employers](https://www.atb.com/company/careers/why-atb/) thanks to our high-care, high-performance culture, upheld by the three commitments we make to our team members: **Impact in action:** No matter where you are in the organization, you're empowered to make an impact in the lives of our clients and communities. **Thrive together:** We want you—the unique, authentic you—to feel safe and celebrated at work. We're on a continuous journey to build the most flexible and inclusive programs. **Ready for tomorrow:** We want to enable your success through interesting and challenging work, performance enablement, and learning and development. ## About the Role We are seeking an experienced, highly analytical, and strategic **Senior Model Risk Manager** to lead and to execute independent validation of high-complexity models within our Capital Markets and Market Risk portfolio. You will execute model validations in line with the bank’s Model Risk Management Policy and OSFI guidelines expectations to ensure our trading, valuation, and risk management models are conceptually sound, mathematically rigorous, appropriately implemented, and fit for use. You will act as a key liaison defending validation methodologies to internal audit and OSFI regulators, driving the continuous evolution and maturity of our model risk management frameworks in response to the growing capital markets portfolios across the model lifecycle. ## Accountabilities - Lead and perform end-to-end independent model validations of complex capital markets models, including derivative pricing models (equity, fixed income, FX, commodities), market risk models (VaR, Stressed VaR), counterparty credit risk (CCR, CVA/XVA), and algorithmic trading strategies in accordance with internal policy and regulatory expectations. - Perform in-depth technical reviews of model methodology, assumptions, data inputs, limitations, calibration, governance, and outcomes; design and execute quantitative tests such as replication, sensitivity analysis, benchmarking, and back-testing/performance monitoring (as applicable) and provide peer review for team member and external validators. - Review periodic model performance monitoring report according to model performance plan and conduct model re-validation to ensure appropriate model performance while in use. - Write clear, well-structured validation reports that articulate findings, model risks, and practical recommendations for both technical and senior stakeholders; assess issue materiality/impact/severity and review remediation planning and ongoing monitoring. - Ensure validation activities and evidence are completed in accordance with internal policies/standards and relevant regulatory expectations; maintain organized working files and traceability from requirements to testing to conclusions. - Partner with model owners, developers, users and risk stakeholders to understand model design and usage, while providing independent and constructive challenge; communicate validation issues and track them through resolution. - Represent the Capital Markets model validation portfolio during internal audits and external OSFI regulatory examinations, by providing analysis evidence, documentation, and responses; ensure validation evidence and archived documentation are complete and suitable for independent third-party review. - Contribute to continuous improvement of the bank's Model Risk Management framework, validation standards, templates, and techniques; conduct targeted research on emerging best practices and provide guidance and mentorship to junior team members. ## Knowledge, Skills and Experience - Ph.D. or Master’s degree in a quantitative discipline (e.g., mathematics, statistics, economics, financial engineering, physics, engineering, finance, operations research or data science) or equivalent experience. - 5-7 years relevant experience, with a strong preference for direct experience in capital markets/market risk model validation or development. Combination of advanced degree and fewer years work experience will be considered. - Strong programming skills in mathematical/statistical and database tools, particularly Python, Big Query , SQL, and Excel/VBA. Working experience with specialized capital markets risk systems (e.g., Murex, QRM, or Calypso). Experience with Google Cloud platform is an asset. - Expertise in stochastic calculus, numerical methods, Monte Carlo simulations, and statistical analysis and time-series analysis. - Strong understanding of capital market and market risk modelling techniques and model risk concepts; ability to discover and diagnose risks related to data, assumptions, methodology, process, calibration and implementation. - Deep familiarity with financial instruments, market structures, and risk management frameworks. - Ability to independently plan and deliver validation work (scope, testing strategy, timelines, and reporting) and manage multiple validations in parallel with appropriate escalation of risks and issues. - Excellent verbal and written communication skills, and interpersonal skills; able to communicate complex mathematical concepts clearly and influence outcomes through constructive challenge and report writing. - Strong analytical and problem-solving skills combined with an ability to 'see beyond the numbers', to identify issues and to understand the underlying causes of model deficiency issues. - Ability to manage multiple priorities with sound judgment and accountability. - Must be able to maintain a high level of accuracy and confidentiality. - Professional, friendly, courteous, respectful and highly motivated personality. - CFA designation (or progress toward it) is considered a strong asset, particularly for understanding complex Capital Markets product and trading models. Professional risk management designation (FRM or PRM) is an asset. ## Workplace Arrangement This position has a hybrid work arrangement. On average, this means 2 days on-site per week. Please note that this is subject to change due to business priorities. ## Salary Range $124,000 to $152,000 annually, dependent on experience. **Don’t meet all the requirements on the list?** A resume only goes so far in expressing who you are and the unique perspectives you bring. If you believe your skills and experience align with the role—but you might not check all the boxes—we want to hear from you. We encourage candidates from all work backgrounds, equity-seeking communities and experience levels to apply. If you’re seeking a career where your drive, perspective and growth are celebrated, we want to hear from you. We’re dedicated to building a workforce reflective of those within our communities, and a culture where our team members are equipped with what they need to succeed—their way. Part of creating an inclusive workplace is recognizing our role in advancing Truth and Reconciliation. We are committed to meeting and exceeding the standards set out in the [Partnership Accreditation in Indigenous Relations](http://www.atb.com/company/community/indigenous-relations/?utm_source=offline&utm_medium=redirect&utm_campaign=indigenous+relations) program created by the Canadian Council for Aboriginal Business. **What happens next?** If you are shortlisted, you’ll hear from us after the posting closes. Check out our [How We Hire](https://www.atb.com/company/careers/how-we-hire/) page to learn more about our hiring process. If you need any accommodations throughout this process, please let us know at [talentteam@atb.com](mailto:talentteam@atb.com) **Stay in touch** We’re excited that you’re interested in a career with ATB. Follow us on [LinkedIn](https://www.linkedin.com/company/atb-financial/?viewAsMember=true), [Facebook](https://www.facebook.com/ATBFinancial/) and [Instagram](https://www.instagram.com/atbfinancial/?hl=en) to learn more about what our team is up to.