Julio DeJesus

Experience

• 

  CIBC

  Jan 1997 - Jan 2004

  Assisted in developing and managing (along with an implementation phase with Technology) an integrated market and credit risk (VaR) engine for the Securities lending portfolio at CIBC Mellon Investigated and evaluated statistical relationships between energy futures contracts, money market, and foreign currency time-series data using sophisticated analyses, leading to a large trade between the bank and external clientsParticipated and coordinated the Suncor VaR project by calculating the 95% and 99% VaR for a hypothetical portfolio of energy futures using variance-covariance and the historical simulation Show less

  • Vice President - Client Relationship and Project Management

    Jan 2002 - Jan 2004

  • Director - Trading, Risk, Middle-Office, and Market Data Analytics

    Jan 1999 - Jan 2002

  • Senior Manager - Trading, Middle-Office

    Jan 1997 - Jan 1999
• 

  CIBC

  May 2004 - Mar 2014

  Vice President - Validation and Quantitative Analysis (and Risk Strategic Initiative post 2010)

  Managed the validation of the Bank-wide credit risk and capital measurement models with respect to credit rating and capital models/parameter consistency, including a fulfillment of Basel II requirements * Had primary responsibility for quantitative and qualitative validation of the Bank’s retail and wholesale parameters and models, which collectively represented $131 billion of Risk Weighted Assets (RWA) on the Bank’s balance sheet * Developed verification techniques and analytical models for regulatory and economic capital measurement for the retail and wholesale banking business * Provided guidance on the BASEL II regulatory validation requirements and helped develop validation policies and standardsDeveloped, modified and tested Risk engines * Co-developed and implemented Incremental Risk Charge model for non-securitized interest rate products in the trading book * Managed the development of in-house Value-at-Risk Historical Simulation engines for Market Risk – approved by OSFI (Canadian regulator) on Dec. 13, 2013 - this also included Stressed VaR and Debt Specific Risk engines, and a vendor Monte Carlo based Counterparty Credit Risk engineDeveloped the quantitative component of the Internal Model Methods * Developed a framework and methodology to calculate Credit Valuation Adjustment (CVA) capital charge * Developed the methodology to calculate Wrong Way Risk * Developed a framework and methodology to backtest CCR exposures, and managed the implementation of a prototype modelQuantitative Analysis for the trading floor * Managed development of a very large spreadsheet tool for the interest rate desk for OIS swaps, multi-curve OIS discount methodology, portfolio pricing, butterfly trades, customized schedule swaps, resettable swaps, cheapest-to-deliver curves * Developed and implemented a swap curve analytics, statistical, and report generation tool (spreadsheet and web-based) for the Structured Marketing desk Show less

• 

  BMO Capital Markets

  Mar 2014 - Oct 2016

  Managing Director - Financial Products, Cross Business Risk

  Managed development of Value-at-Risk Historical Simulation risk engines for the trading floor * Presented to senior management in Capital Markets, Enterprise Risk and Portfolio Management, the vision, fundamental methodology, and progress of a new risk calculation paradigm for BMO trading books * Managed and assisted in development of the new trading book market risk engines for each asset class by leveraging an internal technical library and grid infrastructure * Collaborated with Market Risk Technology teams to commence implementation of the front-office based risk engines into the corporate Market Risk systems Show less

• 

  BMO Financial Group

  Nov 2016 - Feb 2021

  Managing Director – Market Risk Models

  Traded Counterparty Credit Risk * Developed and tested new Credit, Equity, and Commodities models * Extensively tested the pricing models across derivative product types for all asset classes * Re-developed and tested the Ruiz based back testing methodology * Developed, implemented, and tested the new Total Return Swap for a convertible bond underlierTrading Book Market Risk * Value-at-Risk (VaR) Historical Simulation engine: managed in-house development and implementation - approved by OSFI on May 17, 2019, approved by the FED on Dec. 19, 2019, while the OCC gave approval on Jan. 24, 2020 * Led the team in the design, development, and implementation of the new BMO market risk Stress Testing framework for all asset classes * Fundamental Review of the Trading Book (FRTB): managed and directed a team that developed, tested and implemented FRTB Standardized Approach (SA) for regulatory capital * Drove firm’s interpretation of regulations and co-represented the Bank in industry working groups Non-Trading Book Market Risk * Developed and tested the generation of historical scenarios and assisted in implementing an Economic Capital calculation model for the Bank’s assets and liabilities * Pioneered approach to calculate Value-at-Risk for Structural Market Risk * A methodology to determine the risk of the Pension portfolio was developed Quantitative Analysis and Model Performance Monitoring * Established a comprehensive model performance monitoring framework, with data visualization, for the Historical Simulation VaR model * Developed, implemented and tested the new Economic capital model monitoring KPI * Co-managed the data enrichment project for the interest rate curves used in the valuation of RMBS/CMBS and to more properly capture the risk of the securitization portfolio in the VaR risk model * Facilitated in overseeing and identifying, where needed, Risk-not-in-VaR (RNIV) items and their related remediation actions Show less

• 

  Ernst & Young Global Consulting Services

  Sept 2021 - now

  • Director - Head of Capital Markets Analytics/Pricing Team - FS Risk Consulting

    Sept 2022 - now

  • Senior Advisor, Financial Services Risk Practice

    Sept 2021 - Aug 2022