Manager, Quantitative Analytics - Toronto, Canada - TD Bank

TD Bank

Verified Company

Toronto, Canada

1 week ago

Posted by:

Sophia Lee

beBee Recruiter

Description

396055BR

Enterprise Data & Analytics

Toronto, ON

January 25, 2023

Company Overview

Department Overview

TDBG Retail Model Development (RMD) is responsible for the development of expected loss models that measure credit risk in all TDBG retail credit products, model aggregation methodology and execution, including stress testing and IFRS9, and retail decision models (i.e.

scorecard models) used in risk strategies.

Model development entails developing, and implementing accountlevel retail credit risk rating, and parameter models (PD, EAD, and LGD); using these risk ratings and parameters to estimate and report the Risk-Weighted Assets (RWA) as required under the Basel II Retail Advanced Internal-Ratings Based (AIRB) approach, and the minimum regulatory capital and economic capital that the Bank needs to allocate against the credit risk in its retail product portfolios; and estimating allowance for expected credit losses for performing and impaired assets.

Job Description:

The position reports to senior manager, stress testing and IFRS9.

The individual will manage a team that is responsible for the development and documentation of IFRS9 and stress testing methodology for Canadian retail portfolios as well as stress testing execution cycle.

The team will also support all stages of model validation, audit, implementation as well as regulatory compliance.

This will entail extensive and deep interactions with TDBG Model Validation and Model Risk Management, Internal Audit, external auditors and OSFI, in order to support their review and approval process and ensure model compliance with TDBG Model Risk Policy.

The position will work closely with and actively support TD Retail Risk Management, as well as retail credit product and finance areas by providing a deep analysis of credit risk drivers and parameters under various scenarios for the respective product portfolios.

This will entail discussing with the retail credit product, finance, and risk management areas key observations and conclusions derived from the data analysis and modeling, and assisting in their use to manage product portfolio risk and profitability.

Oversee EWST and MST cycles and support related materials and analyses;
Oversee IFRS9 model development and support all model lifecycle activities related to IFRS9 model methodology;
Participate in design, planning, implementation and testing of various modeling initiatives;
Develop and implement data analyses, data collection systems and other strategies that optimize statistical efficiency and quality for the US commercial portfolio;
Develop strong relationship with models sponsor and owner;
Lead the governance team and data management;
Interact with senior management to prioritize business requirements;
Collaborate with Retail risk management teams and participate in crossfunctional projects as needed;
Identify new business improvement opportunities;
Support monitoring activities;
Have a potential to build a team in the future
Perform ad hoc analyses as required by management and other business partners;
Produce and maintain wellarticulated documentation on above;
Write and maintain robust code for performing the above functions.

Requirements:

Graduate degree in a relevant quantitative field, such as Applied Econometrics, Economics, Mathematics, Statistics, Actuarial Science, Finance, Computer Science or Physics considered a strong asset;
At least 35 years of working experience in credit modeling space;
Indepth knowledge of BASEL and IFRS9 framework and requirement;
Strong theoretical and numerical background;
Programming experience is mandatory: SAS, MATLAB or Python;
Experience working with relational databases and SQL;
Strong interest and ability to undertake applied research;
Outofthebox thinker and enthusiastic in solving problems;
Strong written and verbal communication skills;
Ability to work in a multidisciplinary team setting;
Strong work ethic and adaptable to changing priorities
Prior experience of managing a team will be an asset

Additional Information

LI-Hybrid
LI-Remote
LI-Onsite

Hours

37.5

Inclusiveness

At TD, we are committed to fostering an inclusive, accessible environment, where all employees and customers feel valued, respected and supported.

We are dedicated to building a workforce that reflects the diversity of our customers and communities in which we live and serve.

If you require an accommodation for the recruitment/interview process (including alternate formats of materials, or accessible meeting rooms or other accommodation), please let us know and we will work with you to meet your needs.