Manager, Retail Credit Risk Quantitative Provisions - Contract
Requisition ID: 83118
Join the Global Community of Scotiabankers to help customers become better off. Purpose
As a member of the Global Retail Provisions Methodology team, contributes to the retail credit risk provisions projects to enable the overall success of Global Retail Provisions team who are accountable for establishing prudent levels of loan loss allowances (ACL) for the Retail International and Canadian portfolios and Canadian Small Business Wealth Management Credit Risk.
Since the introduction of IFRS9, there has been new methodology and tools deployed in key regions with additional implementations planned for international portfolios (including acquisitions). A project team across the functional groups will be responsible for this roadmap including governance, operational controls and change management associated with critical end to end processes that support measurement of Allowances for Credit Losses, production of critical risk reports and delivery of regulatory reporting for global retail portfolios in accordance to bank standards and in compliance with regulatory requirements.
The incumbent will be responsible for quantitative analytics, testing and implementation of changes to existing or new deployments of IFRS9 Models in support of the provisions workstreams of the project teams. Accountabilities
Education / Experience / Other Information
- Validate, test and implement recalibrated / new IFRS 9 models:
- Manage and analyze historical data to perform and support recurring and new adjustment estimation;
- Design and implement robust and modular statistical software codes to generate the end-to-end portfolio ECL generation process in the in a local End-user environment including all risk parameters and post model adjustment sub-routines
- Document all design and code implementation of approaches, data ETL, assumptions, model inputs used and modelling processes;
- Test (Business Acceptance) for functional and equivalency
- Perform input data validation and output validation for models and reports as
- Conduct variance investigations to identify root cause to enable defect resolution including updates to business logic for new or derived variables in source data mapping
- Develop, execute, and document results of test cases for unique model configurations across workflow including forward looking adjustments and ECL calculations
- Partner with other IFRS 9 project teams in integrating the FLI model output to the IFRS 9 impairment estimates
- Advanced degree in Computer Science, Engineering, Economics, Finance, Statistics or other related quantitative discipline. Professional designation is beneficial (e.g., CPA, CFA, FRM).
- 1-2 years' experience in credit risk modeling for either retail or wholesale products
- Expert proficiency in R, SAS, Python, SQL programming
- Experience in data mining and manipulation of large data
- Excellent application development and coding skills. Ability to synthesize modeling and measurement requirements and translate into modular or object oriented codes and sub routines (R, SAS, SQL, VBA, Python)
- Strong data organization and adept at manipulating large amounts of data (Advanced MS Excel/Access, SQL)
- Strong Quantitative modeling skills (e.g., advanced statistical models, econometric models)
- Strong Communication skills (written & verbal)
- Previous experience in agile methods and testing tools (Hive QL, JIRA) would be an asset
Work in a standard office-based environment; non-standard hours are a common occurrence.
This is a 9 months ocntract.
Location(s): Canada : Ontario : Toronto
As Canada's International Bank, we are a diverse and global team. We speak more than 100 languages with backgrounds from more than 120 countries. Our employees are committed to a superior customer experience and use the Bank's six guiding sales practice principles to ensure they act with honesty and integrity.
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here . Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted. Job Segment:
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