Manager, Regulatory Capital Models (1-year contract)

Scotiabank•Toronto, ON

21h•Onsite

About The Position

The Manager is responsible for the design and development of rating models for Collateralized Loan Obligations. Internal Ratings Management (IRM) is responsible for designing, selecting, implementing, maintaining, reviewing, providing user support for, and ensuring the performance of Business Banking IRB models, including Borrower Risk Rating, Probability of Default (PD), Loss-Given-Default (LGD), and Exposure-At-Default (EAD). This includes ensuring ongoing compliance with OSFI requirements for these models, managing the operations of CreditLens and Problem Loan Data Capture (PLDC) IT systems, providing input and support for compliance with local regulators of BNS subsidiaries and branches, and offering quantitative input and support for credit risk measurement, management, and reporting.

Requirements

Minimum Master’s degree or equivalent in a quantitative discipline—science, technology, engineering or mathematics, or quantitative finance.
1 or more years of experience in a professional role with analytical, recommending and reporting disciplines is preferred.
Familiarity with government regulations and documentation is preferred.
Sound understanding of the risk rating & credit adjudication process conducted by the various banking and credit teams, together with thorough knowledge of the types of business conducted by these teams.
Advanced computer skills and experience in manipulating large volumes of data and building End-User-Computing solutions.
Expertise in SQL, Python.
Forward and independent thinking to identify emerging regulatory and market requirements on credit risk analytics.
Flexibility and creativity in problem solving, including strong abilities of innovation and path-finding.

Responsibilities

Design and develop models for Collateralized Loan Obligation Rating models.
Oversee research and analysis of regulatory requirements and industry practices to identify applicable methodologies and statistical techniques appropriate for assigning ratings.
Design the monitoring framework for the developed models.
Manage a large number of processes which require development of scripts and processes for running code, including appropriate change management.
Ensuring that processes follow good practices and are compliant.
Documenting the process flows and procedures.
Keep abreast of the regulatory requirements and industry best practices.
Participate in relevant industry forums and strive to continuously innovate and improve the processes.
Maintain a solid working relationship with teams within IRM: Data Management, Model Development, Rating Models User Support.
Maintain a solid working relationship with relevant BNS groups: Enterprise Risk.
Ensure compliance with various governance agents such as OSFI and other regulators, Internal and External Audit, Model Validation and Approval.