Senior Manager, Model Validation

Scotiabank•Toronto, ON

5d•Onsite

About The Position

This position entails activities related to model validation work to establish overall soundness of credit risk measurement, delivery of various ad-hoc validation assignments, and collaboration/communication with the model development teams and business lines to ensure model risk management initiatives are in compliance with internal policies/procedures and regulatory requirements.

Requirements

Advanced degree (PhD and Masters preferred) in a quantitative discipline (Statistics, Mathematics, Physics, Computer Science, etc.) which includes rigorous exposure to statistical knowledge and techniques; an additional business degree (e.g., MBA) and other industry certification or credentials will be an asset (e.g., CFA, FRM).
Experience in development and/or validation of risk and/or financial models in retail/small business/non-retail credit risk management preferred.
Exposure to AIRB and/or IFRS 9 related credit risk management and quantification preferred.
Sound understanding of various modelling techniques; strong knowledge of statistical techniques and proven ability to employ these to analyze large sets of data;
Knowledge of financial risk management, especially issues and techniques pertaining to credit risk management – including practical implications and limitations.
Hands on programming skills, particularly statistical and database modeling tools (SAS, SQL, Python, R, etc.). Ability to adapt to various programming languages and environments.
Ability to manage efficiently multiple priorities; flexibility and creativity in problem solving
Attention to details, independence, and consensus building ability to effectively collaborate in teamwork and with model owner/developer counterparts.

Responsibilities

Assist Director and/or independently validate credit risk origination, behaviour, and collection scoring models, as well as new AI/ML models for domestic and international retail / Business banking portfolios.
Manage and lead junior team members and supporting resources to conduct modelling and validation analysis. Provide coaching and feedback to team members.
For the model being validated, review the methodology appropriateness and applicability, evaluate the quality of the model's input data, replicate the model building process, assess the performance of the model, execute independent calculations and analyze/interpret the model output, perform sensitivity tests and alternative benchmarking modelling.
Based on the results of model validation, recommend improvements to the model or the model development process and identify material improvement opportunities in the models being validated.
Responsible for drafting validation reports and submitting of all necessary documentations related to validation assignments to Senior Manager/Director; ensure accuracy and completeness of archived information and related documentation to allow independent third-party review of the validation work performed.
Establish communication with model owners/developers to understand model rationale and issues; maintain collaborative relationship with key contacts as identified for each validation; communicate findings from validation work to stakeholders.
Provide support to Director to resolve outstanding audit and regulatory issues and to respond to ad-hoc senior management, audit and regulatory requests.
Undertake research and development of new validation techniques, including responsibility of designing the validation framework and research on appropriate statistical/mathematical technical tests to analyze various aspects of model performance; Recommend and enforce improvements to tests/methods in order to fulfill internal validation needs and to align (if applicable) with industry practices.
Comply with internal policies, procedures and regulatory requirements where applicable.