Manager, Enterprise Stress Testing (14 Month Contract)

Is this role right for you?

In this role you, will :

Develop and implement the credit risk models using technology platforms, primarily utilizing Python, R and SQL. It involves models that forecast credit rating migration probabilities as well as models that project point-in-time values for Probability of Default and Loss Given Default as a function of macroeconomic variables

Optimize code repositories to ensure they can be effectively executed in the operational / production environment to produce stress testing Expected Credit Loss (ECL) and Risk-Weighted Assets (RWA) results in a timely manner

Build Power BI dashboard and other visualization tools to assist analysis across multiple macroeconomic scenarios and provide a wholistic / separated view of the credit portfolio’s performance during stress

Collaborate with internal model development teams, including the Retail, Models & Analytics (RMA) team, and the IFRS9 modelling team to ensure stress testing models are compatible and up to date with the production environment

Perform supplementary analysis and construct overlay methodologies to consider emerging risk themes, such as climate risk, geopolitical tensions, and high consumer indebtedness

Ensure compliance with applicable regulations and provide necessary information and ad-hoc analysis to regulators as required

Do you have the expertise that will enable you to succeed in this role? - We'd like to work with you if you have :

Advanced degree in Economics, Finance, Statistics, Mathematics, Data Science, or other related quantitative discipline

Advanced quantitative modeling expertise (e.g., advanced statistical models, machine learning, econometric models)

Experience in working with large dataset and optimization of code speed

Experience with R or Python is required. Experience with Spark is an asset

Experience in credit risk modeling related to probability of default and loss given default. Stress testing experience is desirable

Strong communication expertise

General knowledge of a bank’s financial statement with a good understanding of credit products and provisions for credit losses (PCL)

Working knowledge of RWA and capital requirement under Basel III regulations is an asset

Experience with leading or working in transformational projects

Experience with presenting analytical findings and business insights

Working knowledge of basic Linux or UNIX systems is an asset. Experience with version control software (e.g. Git) is an asset.

What’s in it for you?

The opportunity to join a forward-thinking company surrounded by a collaborative team of innovative thinkers.

A rewarding career path with diverse opportunities for professional development. This position will have exposure to multiple aspects of the bank’s financial profile, such as balance sheet growth, provisions for credit losses and capital adequacy assessment.

Becoming a subject matter expert and storyteller for our Canadian retail portfolio, in terms of how the stress testing process works and what drives the portfolio’s losses

A competitive compensation and benefits package.

An organization acted to making a difference in our communities for you and our customers.

We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success!