Joshua Beauchamp
Hamilton
Summary
Dynamic financial risk professional with a proven track record at BMO Financial Group, excelling in quantitative analysis and risk management. Spearheaded the development of a Python-based FRTB capital aggregation engine, enhancing reporting efficiency. Recognized for automating processes, saving significant time, while effectively communicating complex risk methodologies to stakeholders.
Overview
8
8
years of professional experience
Work History
Director, Market Risk Capital (FRTB)
BMO Financial Group
11.2023 - Current
- Appointed team lead of FRTB production team, which includes:
- Directing and coordinating tasks amongst the team to ensure timely and accurate FRTB market risk capital calculations
- Leading weekly presentations of FRTB market risk capital drivers to all stakeholders across the bank (front office, risk oversight)
- Developed BMO’s Python based FRTB market risk capital aggregation engine (SBM for all asset classes, DRC, RRAO)
- Independently responsible for development of new features critical for market risk capital reporting and internal risk monitoring
- Implemented Euler decomposition of capital charges into FRTB aggregation engine, enabling the bank to view capital attribution at the position level in an additive manner
- Key front office contact for providing RWA estimates for proposed trading activity – developed BMO’s tool that enables this capability (Python, SQL)
- Developed FRTB market risk capital stress testing and ‘what-if’ analysis scenarios, methodology and quantification tools (Python, SQL)
Associate, Equity Finance
RBC Capital Markets
06.2023 - 11.2023
- Cover firm and client short positions
- Book client returns and recall requests
- Automate and enhance reporting capabilities (VBA, Python)
Manager, Counterparty Credit Risk
BMO Financial Group
11.2020 - 06.2023
- 2022 annual performance award recipient
- 2021Q1, 2022Q1, 2022Q2 quarterly performance award recipient
- Key front office contact for complex and/or highly material live derivative, SFT and DFT exposure calculations and credit limit checks (includes all traded products across all desks)
- Provide weekly oversight of BMO’s CCR exposure to all clients, explaining key drivers of material exposure changes and trends across all traded derivative, SFT and DFT products
- Assist portfolio managers in setting exposure trading limits for diverse set of derivative, SFT and DFT products by providing scenario-based analytics of main risk drivers
- Communicate rationale for risk methodologies and exposure figures to portfolio managers and traders
- Develop exposure calculation methodology for new traded derivative products (for all desks)
- Appointed team lead for quarterly risk model parameter calibrations, which includes:
- Directing and coordinating various tasks amongst a team of six
- Parameter change calculation/justification for all risk models (FX, IR, equity, commodity, credit)
- PFE impact analytics for all OTC derivative and SFT products
- Presentation to upper management, trading desk heads and corporate banking
- Significantly improved efficiency of quarterly model calibrations by automating various manual processes (using Python, SQL, VBA) saving over two months of work per quarter
- Developed and maintained interest rate swap and basis swap risk factor calculator which was implemented as part of CCR’s quarterly calibration process (Python, VBA)
- Implemented several enhancements to weekly ad-hoc equity model calibration process (Python, VBA, SQL)
Senior Financial Risk Analyst
TMX Group
12.2019 - 11.2020
- Key involvement in CDS Clearing (Canadian equity central counterparty) post-trade risk modernization project
- Responsibilities included MATLAB and SQL code development, methodology validation & participant impact analysis for clearing member margin requirements (Base Initial Margin, Mark-To-Market, Wrong-Way Risk, Minimum Liquidity Requirement)
- Assisted in the development of equity portfolio and individual equity SVaR and HVaR MATLAB/SQL models for haircut and base initial margin calculations
- Independently developed underlying methodology and implemented MATLAB/SQL model for CDS Clearing collateral fixed-income stress testing
Senior Quantitative Analyst, Model Validation
Sun Life Financial
04.2019 - 12.2019
- Validated Risk Metrics CDS VaR stochastic credit migration and pricing model
- Performed data validation and feature selection methodology review for automated underwriting random forest model
- Replicated and validated methodology of Finastra Summit derivative valuation engine using Python for the following products: vanilla interest rate swaps, cross-currency interest rate swaps, zero-coupon swaps, swaptions and FX-forwards
- Replicated bootstrapping/interpolation and assessed methodology of discount curve construction for USD/CAD LIBOR, USD/CAD OIS and various cross-currency curves using Python
- Assessed constraints and limitations of models, challenged model conceptual soundness including methodology, logic, assumptions, inputs and outputs
Actuarial Associate
Munich Reinsurance Company of Canada
09.2017 - 07.2018
- Developed Munich Re’s primary tool for producing critical illness pricing incidence rates using VBA and SQL programming
- Ad-hoc data analytics on 3M+ records with PL/SQL programming
- Maintained and updated key pricing metrics of the GGY AXIS individual life, disability and critical illness new business master models
- Calculated and explained impacts of implementing new pricing mortality assumptions on all new business GGY AXIS master models
- Determined and explained in detail the driving forces of modeled projected and/or historic negative performance on target clients
- Replicated and reconciled original pricing assumptions and profit metrics in GGY AXIS using premium tables and distribution/mortality assumptions sent from the client at time of pricing
- Assisted in preparation of detailed presentations of analysis on target clients to be presented to upper management and lawyers
Education
Master of Financial Mathematics - MFM, M-Phimac
McMaster University
Hamilton, ON01.2019
Honours Bachelor of Science - Actuarial and Financial Mathematics
McMaster University
Hamilton, ON01.2016
Skills
- Quantitative analysis
- Risk management
- Financial modeling
- Statistical modeling
- Traded products
- Adaptiv
- Microsoft Excel
- Microsoft Access
- Bloomberg
- Python
- VBA
- SQL
- MATLAB
Professional Designations
- ASA (Associate of the Society of Actuaries)
- CSI – CSC/CPH
- FINRA - Series 7, Series 63, SIE
- Machine Learning – Stanford University (Coursera)
- DeepLearning.ai - Deep Learning Specialization
Timeline
Director, Market Risk Capital (FRTB)
BMO Financial Group
11.2023 - Current
Associate, Equity Finance
RBC Capital Markets
06.2023 - 11.2023
Manager, Counterparty Credit Risk
BMO Financial Group
11.2020 - 06.2023
Senior Financial Risk Analyst
TMX Group
12.2019 - 11.2020
Senior Quantitative Analyst, Model Validation
Sun Life Financial
04.2019 - 12.2019
Actuarial Associate
Munich Reinsurance Company of Canada
09.2017 - 07.2018
Master of Financial Mathematics - MFM, M-Phimac
McMaster University
Honours Bachelor of Science - Actuarial and Financial Mathematics
McMaster University