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Manager, Model Development

Scotiabank

This is a Full-time position in Toronto, ON posted August 30, 2017.

6589Branch / Department: GRM –

– Retail Risk Models Transit Number:  75077 Employee Referral Program – Potential Reward: $1,000.00  We are committed to investing in our employees and helping you continue your career at Scotiabank. Purpose of Job  The Manager, Model Development contributes to Retail Bank’s profitability targets and management of credit risk for personal and small business products by assisting the Senior Manager in developing, enhancing and monitoring Consumer and Small Business risk models used for origination, account management, collections, forecasting, IFRS9, Regulatory and Economic Capital calculations.   The incumbent will assist in the IFRS9 and Basel AIRB parameter (PD, LGD, EAD) calibration and risk quantification.  The incumbent ensures Risk Management data maintains integrity at all times and assists the Senior Manager in producing quality reports, detailed ad hoc analytics and documentation that may be distributed to Senior Management, Internal and External Audit and/or OSFI. Key Job Accountabilities  1.

Assist in development of risk models for the purposes of origination, account management, collections, IFRS9, Regulatory and Economic Capital Assist in the Basel AIRB parameter (PD, LGD, EAD) calibration and risk Assist in IFRS9 parameter estimation (Segmentation, Lifetime, Significant Increase in Credit Risk (SIR), Long Run 12 month and Lifetime PD, EAD, The incumbent will monitor models and parameters to ensure that they perform as per established guidelines and provide the Senior Manager with an explanation of breaches and recommendations on next Ensure timely delivery of quarterly reports to Senior Management and Keep up-to-date on best practices in risk management analytical methodologies.  Assist in development of new methodologies for model development, parameter calibration, monitoring and reporting.  Make recommendations to improve risk rating systems, scorecards, and improvements to existing reports, processes and Maintain a thorough knowledge of existing models and methodology8. Assist Senior Manager in ensuring that all models comply with Basel II Framework, BCAR Guidelines, OSFI Implementation Notes and Bank policies (Model Risk Management Policy)9. Assist Senior manager in ensuring IFRS9 models comply with BIS and OSFI guidance, and Bank policies (Model Risk Management Policy).  Support IFRS9 model implementation as per Contribute to the development of a robust data infrastructure for model development and analytics.  Regularly review data sources for required changes/improvements11. Ensure that the data used for model development is reliable and robust and that it adheres to industry standards.  Data is a critical element in ensuring model accuracy and enabling development efficiencies.  Good understanding of business related characteristics, as well as proper handling of data anomalies and missing values are critical success Good understanding of Consumer and Small Business automated support systems (I.e. origination, portfolio management, collection, and provision systems) and policies.  Good understanding of departmental Provide ongoing support during internal (GRM, Audit, BPO, Finance) and external (Audit, OSFI, etc) data requests and Good communication skills are required to ensure model documentation is clear and provides third party reviewers (i.e. Global Risk Management, Audit, or OSFI) the ability to replicate model functionality15. Work well individually and within a team environment. Skills, Experiences and Funtional Competencies  This position is extremely complex and highly technical. Management of asset quality using predictive risk models, management of regulatory and economic capital via Basel II parameters, management of ECL using IFRS9 parameters is highly specialized.  They require the right balance of statistical modeling skills and creativity to create a proactive environment that ensures the Bank uses sound industry practices. The incumbent has obtained an education in the analytical field and possess knowledge/experience in building credit risk models, IFRS9 and AIRB parameters, datamining, analytical and problem solving skills, or equivalent.  He/she must keep pace with changes in risk management methodologies including but not limited to the predictive scoring, IFRS9 and Basel.  The incumbent must be able to support background analytics through effective oral and written communicationThe incumbent requires the following qualifications: o University degree in Statistics, Mathematics, Economics, Engineering, Operations Research, etc.o At least two years previous work experience in an analytical role using SAS, R, Python, Spark or any other statistical/data mining softwareo Proven analytical and technical skills required including quantitative analysis, programming and statistical model developmento Strong mainframe, UNIX, Hadoop and PC skillso Experience with manipulating data using Excel and SQLo Knowledge of the Basel Framework (specific to Retail parameter estimation and documentation)o Knowledge of the IFRS9 Framework (specific to Retail parameter estimation and documentation)o Knowledge of sound practices in scorecard as well as PD, EAD, and LGD model development, , Lifetime estimation, SIR determination, ,validation, deployment, documentation and on-going complianceo Good communication skills (written and verbal)o Good knowledge of risk management best practiceso Experience working in a major Financial Industryo Knowledge of bank products and credit lendingo Proven ability to work with teams in a professional and productive mannero Efficient and flexible as work is conducted under tight deadlines and conflicting prioritieso Able to recognize data problems/issues, and recommend solutions o Able to recognize data problems/issues, and recommend solutions  Education and Other Requirements  The incumbent requires the following qualifications: o University degree in Statistics, Mathematics, Economics, Engineering, Operations Research, etc.o At least two years previous work experience in an analytical role using SAS, R, Python, Spark or any other statistical/data mining softwareo Proven analytical and technical skills required including quantitative analysis, programming and statistical model developmento Strong mainframe, UNIX, Hadoop and PC skillso Experience with manipulating data using Excel and SQLo Knowledge of the Basel Framework (specific to Retail parameter estimation and documentation)o Knowledge of the IFRS9 Framework (specific to Retail parameter estimation and documentation)o Knowledge of sound practices in scorecard as well as PD, EAD, and LGD model development, , Lifetime estimation, SIR determination, ,validation, deployment, documentation and on-going complianceo Good communication skills (written and verbal) Location(s):  Canada : Ontario : TorontoAs Canada’s International Bank, we are a leader when it comes to inclusion. We are a diverse and global team, speaking more than 100 languages with backgrounds from more than 120 countries. 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. Candidates selected for an interview will be contacted directly.  If you require accommodation during the recruitment and selection process, please let us know. We will work with you to provide as seamless a recruitment experience as possible. ALL POSTINGS IN ME@SCOTIABANK WILL REMAIN LIVE FOR A MINIMUM OF 5 DAYS.