Manager, Ifrs 9 Models, Enterprise Stress Testing - Toronto, Canada - Scotiabank

Scotiabank

Verified Company

Toronto, Canada

2 weeks ago

Posted by:

Sophia Lee

beBee Recruiter

Description

Requisition ID: 171866

Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.

Enterprise Stress Testing's ("EST") mandate is to design and run the Bank's stress testing program. We need a strong individual to help with credit stress testing the Bank's portfolio. You will collaborate in building coherent, self-contained stress tests across geographies and products.

This role has the potential for direct impact on strategic business decisions with stress testing as a decision-making tool by senior management in Global Risk Management as well as Finance executives and the Board.

Is this role right for you? In this role you, will:

Develop and implement the credit risk stress testing models using technology platforms, primarily in R and Python
Implement models for projecting pointintime values for Probability of Default and Loss Given Default as a function of macroeconomic variables
Conduct supplementary analysis on model results to provide insights into key drivers of credit losses in each stress scenario
Work with technology teams on data sourcing, technology frameworks to optimize computing efficiency
Assist senior management by supporting ad hoc stress testing analyses
Develop and implement regression models using highly developed technical skills for projecting pointintime values of probability of default and loss given default for commercial and retail banking products as a function of macroeconomic time series variables:
Collect and analyse historical data, choose appropriate model design/methodology, derive model parameters
Develop software code implementing the selected methodology to be run in the operational/production environment and generate risk parameter projections needed for calculating loan impairment charge
Effectively communicate and document model approaches, assumptions, model inputs used and modelling processes

Do you have the skills that will enable you to succeed in this role? - We'd love to work with you if you have:

Advanced degree in Economics, Finance, Statistics, Mathematics, Engineering or other related quantitative discipline. Some knowledge of accounting preferred.
Experience with R or Python is a requirement
Strong computer skills in organizing and manipulating large amounts of data
Advanced quantitative modeling skills (e.g., advanced statistical models, econometric models)
Experience in credit risk modeling related to probability of default and loss given default is desirable
Knowledge of stress testing, IFRS 9, and general knowledge of a bank's financial metrics with a good understanding of credit products and provisions for credit losses (PCL) is an asset
Other desired technical skills
Working knowledge of basic Linux or UNIX systems
Experience with version control software (Git, SVN etc.)
Experience with sparklyr or pyspark
Strong communication skills

What's in it for you?

The opportunity to join a forwardthinking company surrounded by a collaborative team of innovative thinkers.
A rewarding career path with diverse opportunities for professional development.
Internal development to support your growth and enhance your skills.
A competitive compensation and benefits package.
An organization committed to making a difference in our communities

- for you and our customers.

We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success

Location(s): Canada : Ontario : Toronto

Scotiabank is a leading bank in the Americas

Guided by our purpose:
"for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.