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Senior Manager, Model Development

Scotiabank

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

6599Join the Global Community of Scotiabankers to help customers become better off.Purpose of Job  The Senior Manager, Model Development contributes to Retail Products & Services profitability targets and management of credit risk for personal and small business products by providing advanced analytical expertise to support the development, enhancement, monitoring, reporting and documentation of Consumer and Small Business risk models used for origination, account management, collections, IFRS9 and Regulatory and Economic Capital calculations.  The incumbent is responsible for Basel AIRB parameter (PD, LGD, EAD) calibration and risk quantification as well as on-going Basel II compliance for the consumer and small business portfolios.  Responsibilities include IFRS9 methodology development, enhancement and maintenance.  Senior manager is accountable for leading a team of 2-4 direct reports.  The incumbent ensures that Risk Management data maintains integrity at all times and that quality reports, models, analysis and documentation is produced for distribution to Senior Management, Internal and External Audit and/or OSFI. Key Job Accountabilities 1.

Responsible for development of risk models for the purposes of origination, account management, collections, IFRS9, Regulatory and Economic Capital Responsible for Basel AIRB parameter (PD, LGD, EAD) calibration and risk Responsible for IFRS9 parameter estimation (Segmentation, Lifetime, Significant Increase in Credit Risk (SIR), Long Run 12 month and Lifetime PD, EAD, Responsible for specialized analysis, development of creative statistical solutions and recommending improvements to risk rating systems and/or credit risk Responsible for monitoring models and parameters to ensure that they perform as per established guidelines and provide explanation of breaches and recommendations on next Responsible for continuous compliance with the Basel II Framework, CAR Guidelines and Basel II paragraphs, OSFI Implementation Notes and Bank policies (Model Risk Management Policy).  Ensure all quarterly Basel II regulatory reporting activities are completed; including accurate NCR, BCAR and CCAR submissions.  Participate in Basel II paragraph closure, annual and on-going Responsible for continuous compliance for IFRS9, BIS and OSFI guidance and Bank policies (Model Risk Management Policy).  Ensure IFRS9 models implemented as per requirements.  Participate in IFRS9 paragraph closure, annual and on-going Identify, promote and lead process improvements including streamlining, automating, and standardizing processes.  Liaise with systems developers or outside vendors to communicate requirements and review Responsible for providing analytical expertise on larger scale projects with the biggest strategic implications10. Conduct research of new innovative modeling methodologies, tools and regulatory requirements.  Develop new methodologies for model development, parameter calibration, monitoring and Responsible for improvements to improve risk rating systems, scorecards and existing reports, processes and Work with members of the Basel Program Office, Finance Division, Global Risk Management and others to develop appropriate methods, systems and procedures to compute and allocate capital and ECL for Small Business and Domestic Retail credit risk in a transparent, equitable Good verbal and written communications required to ensure model documentation is clear and provides third party reviewers (i.e. Global Risk Management, Internal and External Audit, or OSFI) the ability to replicate model functionality.  Ensure transparency in detailing steps/assumptions/limitations of the 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.  Strong understanding of business related characteristics, as well as proper handling of data anomalies and missing values are critical success Thorough understanding of Consumer and Small Business automated support systems (I.e. origination, portfolio management, collection, and provision systems) and policies.  Work with Risk Management colleagues to ensure models are applicable and can be deployed in existing environments.  Good understanding of departmental Provides managerial leadership to employees which includes assigning tasks and work, holding regular two-way meetings, setting context, conducting performance evaluations, mentoring and coaching in order to create and maintain a high-performing team17. Work well individually and within a team environment. Skills, Experiences and Functional 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 possesses 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 communication and manage highly specialized/technical resources.  He/she must have strong results focus to drive the project through to successful completion.The incumbent requires the following qualifications:o University degree in Statistics, Mathematics, Economics, Engineering, Operations Research, etc. o At least five 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 Expert knowledge of statistical software packages, including SAS, R, Python, Sparko Expert knowledge of manipulating data using Excel and SQLo Excellent knowledge of bank products and credit lending serviceso Good knowledge of the Basel II Framework (specific to Retail parameter estimation and documentation)o Good knowledge of the IFRS9 Framework (specific to Retail parameter estimation and documentation)o Expert 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 compliance coupled with deep understanding of modeling theory and methodologies combined with practical application.o Strong knowledge of risk management best practiceso Experience working in a major Financial Industryo Excellent knowledge of bank products and credit lendingo Proven ability to work with teams in a professional and productive mannero Excellent interpersonal, relationship building and communication skills written and verbal)o Excellent analytical problem solving and technical skillso Excellent time management, planning and organizing skills to manage multiple priorities and deliver quickly under pressureo Strong leadership and mentoring skillso Strong project management and change management skills Education and Other Requirements  The incumbent requires the following qualifications:o University degree in Statistics, Mathematics, Economics, Engineering, Operations Research, etc. o At least five 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 Expert knowledge of statistical software packages, including SAS, R, Python, Sparko Expert knowledge of manipulating data using Excel and SQLo Excellent knowledge of bank products and credit lending serviceso Good knowledge of the Basel II Framework (specific to Retail parameter estimation and documentation)o Good knowledge of the IFRS9 Framework (specific to Retail parameter estimation and documentation)o Expert 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 compliance coupled with deep understanding of modeling theory and methodologies combined with practical application.o Strong knowledge of risk management best practiceso Experience working in a major Financial Industryo Excellent knowledge of bank products and credit lendingo Proven ability to work with teams in a professional and productive mannero Excellent interpersonal, relationship building and communication skills written and verbal)o Excellent analytical problem solving and technical skillso Excellent time management, planning and organizing skills to manage multiple priorities and deliver quickly under pressureo Strong leadership and mentoring skillso Strong project management and change management skills   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.