Director, Treasury, Finance, and Stress Testing Model Validation

EQ Bank | Canada's Challenger Bank • Toronto, ON

5d • Hybrid

About The Position

The Model Risk Management (MRM) team is responsible for ensuring that model risk is appropriately managed according to the Bank’s Model Risk Policy and Standards and compliant with regulatory requirements. Reporting to the Vice President of MRM, the incumbent will support the VP in fulfilling MRM’s mandate with respect to model validation activities of various Treasury methodologies on asset liability management, interest rate risk and liquidity risk management, as well as methodologies supporting stress testing, finance model validation approaches, etc. The incumbent is expected to play a key role in the development of strategies, processes and procedures to validate all credit risk models applied in production on an enterprise-wide basis, and in executing the required validation procedures. The incumbent will also be responsible for ensuring model risk is appropriately managed according to the Bank’s Model Risk Policy and Framework and comply with regulatory requirements. The incumbent will be instrumental in fostering the relationship with Model Development teams. The work scope includes validating model methodology, evaluating the reasonability of assumptions, identifying model use restrictions and limitations, examining the quality of model inputs; establishing benchmarks; conducting additional quantitative and qualitative analysis, articulating findings, recommendations, and conclusions, and completing the model validation report that meets the bank’s model risk management standards.

Requirements

• A Master’s degree or higher in Math, Applied Math, Computer Science, Math Finance, Economics, or equivalent quantitative background.
• 7+ years experience in Treasury risk model validation or model development in a financial institution, advanced in mathematical and statistical derivations, quantitative techniques and qualitative justifications, regulatory requirements and industry practices.
• 3+ years experience in Enterprise-wide models such as ICAAP models and stress testing models
• Extensive understand model risk management principles and practices
• Extensive knowledge of related business and management processes.
• Advanced programming skills in Python, SQL, MATLAB, Excel VBA with macro.
• Excellent analytical skills and communication skills in both written and verbal format.
• Excellent project management and time management skills.
• Excellent technical documentation and report-writing skills.

Nice To Haves

• Previous experience in data analytics is preferred.

Responsibilities

• Plan, execute and report model validations.
• Assess the quality of model data and monitor the model performance.
• Develop validation strategies and testing procedures.
• Communicate key model validation conclusions ensuring that complex concepts are understood by key stakeholder.
• Manage the project timeline diligently.
• Exercise reasonable judgment in decision-making and advise VP MRM.
• Draw upon your experience and knowledge to lead and/or support appropriate model risk assessments consistent with the model’s risk content and intended usage.
• Educate, influence and hold accountable key stakeholders to manage model risk for in-scope models according to the Bank’s Model Risk Policy and relevant OSFI guidelines (for example, E-23 Model Risk Management Guidance, B-6 Liquidity Principles, and B-12 Interest Rate Risk Management).
• Assist VP MRM in providing independent review and opinion to support the asset and liability Committee’s approval of model assumptions.
• Model Risk Governance: Support the Model Risk Governance function on model risk policy development and review, compliance to model risk management policies, processes and regulatory requirements, maintenance of model inventory, model issue tracking and reporting.

Benefits

• Competitive discretionary bonus
• Market leading RRSP match program
• Medical, dental, vision, life, and disability benefits
• Employee Share Purchase Plan
• Maternity/Parental top-up while you care for your little one
• Generous vacation policy and personal days
• Virtual events to connect with your fellow colleagues
• Professional development and comprehensive Career Development program
• A fulfilling opportunity to join one of the top FinTechs and help create a new kind of banking experience

What This Job Offers

• Job Type: Full-time
• Career Level: Director