Manager, Model Development (12-month contract)

Scotiabank•Toronto, ON

1d•Onsite

About The Position

The Manager, Model Development is responsible for developing models for Business Banking Borrower Risk Ratings. Internal Ratings Management (IRM) is responsible for designing, selecting, implementing, maintaining, reviewing, providing user support for, and ensuring the performance of Business Banking AIRB models (Borrower Risk Rating, Probability of Default (PD), Loss-Given-Default (LGD), Exposure-At-Default (EAD), and Usage-Given-Default (UGD)). This role ensures ongoing compliance with OSFI requirements for Business Banking Risk Rating and AIRB models, provides input and support for responding to questions from local regulators of BNS subsidiaries and branches, and offers quantitative input and support to internal teams to measure, manage, and report Credit Risk.

Requirements

Minimum Master’s degree or equivalent in a quantitative discipline—science, technology, engineering mathematics, or quantitative finance.
1 or more years of experience in a professional role is preferred.
Excellent technical writing skills.
Direct experience as a user or developer of credit risk models is preferred.
Familiarity with government regulations and documentation is preferred.
Basic knowledge of modern machine-learning algorithms is an asset.

Responsibilities

Design and implement models for Business Banking Borrower Risk Ratings
Performing data mining and statistical analysis on the Bank’s data related to borrower risk rating modeling
Performing quantitative and qualitative analysis
Conducting research and analysis of applicable methodologies
Ensuring effective and efficient communications with Credit and Banking groups and other relevant stakeholders during the model development process
Implementing and maintaining a rigorous framework of internal controls and comprehensive documentation related to borrower risk rating models
Communicating with Credit and Banking groups to ensure the correct usage of models and the model limitations are properly understood
Develop and maintain sound methodology for monitoring model performance, which allows us to identify problematic models promptly to ensure timely recalibration of models and better serve business needs.
Develop and maintain model documents for Business Banking Borrower Risk Rating models.
Provide ongoing support to users.
Acting as a trusted advisor to identify, diagnose, and solve problems related to Business Banking Borrower Risk Rating models
Providing model analytical and technical support as needed
Maintain a productive working relationship with teams within BNS groups: Banking and Credit groups, Enterprise Risk, Senior and Executive Management, RRGC (Risk Rating Governance Committee)
Ensure compliance with various governance agents such as OSFI and other regulators, Internal Audit, and Model Validation and Approval
Broader work assignments or accountabilities may be assigned as needed.
Works independently and regularly handles non-routine situations.
Keep abreast of the regulatory requirements and industry best practices