Manager, Loss Forecasting Models

Responsibilities

• Lead the design, development, and implementation of loss forecasting models for retail credit portfolios.
• Apply advanced statistical techniques and machine learning/AI approaches (e.g., GLMs, gradient boosting, neural networks) to enhance forecasting accuracy.
• Oversee the full model development lifecycle, including data extraction, feature engineering, training, validation, and deployment.
• Analyze large, complex datasets using Python, SAS, and SQL to identify trends and macroeconomic drivers.
• Manage ongoing model monitoring, including PSI, KS, AR, calibration, and back-testing to identify performance gaps.
• Partner with senior stakeholders across Risk, Finance, and Product to translate complex modeling outputs into actionable business insights.
• Ensure all models comply with internal governance standards and regulatory expectations such as IFRS 9 and CECL.

Requirements

• Master's degree or higher in a quantitative discipline (Statistics, Mathematics, Economics, Data Science, or related field).
• Minimum 5+ years of experience in credit risk modeling, loss forecasting, or quantitative analytics within a financial institution.
• Proven experience developing loss forecasting or credit risk models (e.g., PD, LGD, ECL, stress testing).
• Strong hands-on expertise in Python, SAS, and SQL for data manipulation and modeling.
• Demonstrated experience applying machine learning and AI methods to improve model performance.
• Solid foundation in statistics, econometrics, and predictive modeling techniques.

Preferred Qualifications

• Prior experience at leading financial institutions.
• Knowledge of IFRS 9 / CECL frameworks and macroeconomic scenario modeling.
• Experience with model governance frameworks and regulatory expectations (e.g., SR 11-7).
• Leadership or mentoring experience in analytics or modeling teams.

Benefits

• Competitive salary range.
• Performance-based incentives and discretionary bonuses.
• Health insurance and accident/life insurance.
• Tuition reimbursement.
• Retirement savings plans.

About the Company

BMO is a leading bank driven by a single purpose: to Boldly Grow the Good in business and life. As the 8th largest bank in North America by assets, we provide personal and commercial banking, wealth management, and investment services to more than 12 million customers across Canada, the United States, and globally.