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...