AVP Credit Risk Modelling
About The Position
Reporting to the Senior Vice President of Financial Risk, you will play a critical second-line role, as the owner of IFRS-9 Expected Credit Loss (ECL) modelling and quarterly production, Stress testing for ICAAP and quarterly board reporting as well as portfolio reporting on climate risk exposures. Working closely with Credit Risk Management and Finance to set credit loss provisions for the loan portfolio in accordance with IFRS-9 requirements. You will own the quantitative methodologies for expected credit loss (ECL) and be accountable for running ECL results for the portfolio on at least a quarterly basis. You will also be responsible for developing forecasted macroeconomic scenarios and the associated weightings needed for IFRS-9 ECL provisions, as well as for stress testing purposes. Additionally, you will have primary accountability for explaining changes in ECL results to the Chief Risk Officer (CRO) and Chief Financial Officer (CFO), along with the impact of stress scenarios on credit provisions. This is an excellent opportunity for an experienced risk professional with strong modelling and data skills that would relish the challenge of developing an end-to-end ECL calculation and governance process for quarterly financial reporting and stress testing.
Requirements
- 10+ years of experience working in quantitative risk management (including time spent in relevant academic research), with a primary focus on designing and implementing financial, credit, and macroeconomic models.
- Master's degree in a quantitative discipline; CFA or FRM required.
- Understanding of Expected Credit Loss Modelling within an IFRS-9 context and experience developing Probability of Default, Loss Given Default and Exposure at Default for retail and corporate credit portfolios.
- Expertise in time series econometric modelling, with experience coding and calibrating ARIMA-X time series models and troubleshooting numerical calibration algorithms with time series data.
- Experience working with credit portfolio data at financial institutions and actively resolving data governance challenges across multiple departments.
- Advanced data governance skills with experience in managing large borrower/loan data sets from multiple source systems.
- Experience developing and implementing IFRS-9 time series models for FLI, resolving specification issues, and presenting results to executive audiences.
- Excellent time management skills with the ability to balance quarterly reporting requirements alongside complex multi-quarter projects like ICAAP.
Responsibilities
- Owner of Expected Credit Loss models and methodology, running them on a quarterly basis
- Development of economic forecasts and inputs required by models
- Development and documentation of stress scenarios
- Preparing stressed ECL results for ICAAP
- Manage governance and oversight process for forecasting and provisioning
- Tracking of loan performance data across portfolios over time
- Tracking model performance metrics for ECL models
- Working closely with senior stakeholders in Credit Risk Management and Finance to set allowances for expected credit loss in financial reporting
- Oversee development and maintenance of data sets required for Climate Risk reporting
- Own stress testing methodologies for the Cards and Payments Business
- Prepare quarterly stress testing results across, credit, market as well as the cards and payments business
Benefits
- Competitive salaries
- profit sharing
- RRSP matching
- benefits from day one
- Generous paid time off
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What This Job Offers
Job Type
Full-time
Career Level
Senior
