Senior Manager, Model Development - Internal Ratings Management

Requisition ID: 191082
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.

Purpose:

The Senior Manager, Model Development is responsible for developing models for Business Banking Borrower Risk Ratings.

Internal Ratings Management (IRM) is responsible for:

• Design, select, implement, maintain, review, provide user support for, and ensure the performance of
  • Business Banking AIRB models i.e., Borrower Risk Rating, Probability of Default (PD), Loss-Given-Default (LGD), Exposure-At-Default (EAD), and Usage-Given-Default (UGD).
  • Business Banking IFRS9 Expected Credit Loss (ECL) models.
• Ensure ongoing compliance with OSFI requirements for Business Banking AIRB models, and Business Banking IFRS9 ECL models.
• Provide input and support for responding to questions from local regulators of BNS subsidiaries and branches.
• Provide quantitative input and support to internal teams to measure, manage, and report Credit Risk.

Major Accountabilities:

1. 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

2. 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.

3. Develop and maintain model documents for Business Banking Borrower Risk Rating models.

4. 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

5. Maintain a productive working relationship with teams within BNS groups:

• GBM, CCB, and International Banking and GRM Credit groups
• Enterprise Risk
• Senior and Executive Management
• RRGC (Risk Rating Governance Committee)

6. Ensure compliance with various governance agents such as OSFI and other regulators, Internal Audit, and Model Validation and Approval

7. Broader work assignments or accountabilities may be assigned as needed.

8. Works independently and regularly handles non-routine situations.

9. Keep abreast of the regulatory requirements and industry best practices

Dimensions:

Position requires a balance of quantitative skills, business/regulatory knowledge, and experience.

Business and Regulatory Knowledge:

• Credit risk, model risk, or other relevant regulations and policies.
• Knowledge of or experience with commercial and corporate banking credit risk assessment and financial analysis.

Technical skills:

• Knowledge of and experience in developing statistical models.
• Capable of clearly understanding and articulating model design, model assumption, and model results.
• Strong data manipulation/diagnostic skills and analytical/problem-solving skills, with knowledge in at least one general-purpose programming language. Python, C, and C++ knowledge preferred.
• Experience with analytical software tools and packages such as Pandas (Python), and R.

Project management skills:

• Work collaboratively and proactively with both internal and external clients to keep the project moving.
• Act with a sense of urgency and manage the process to meet deadlines.
• Must be comfortable with shifting priorities, and tight deadlines; work well under pressure.

Education / Experience / Other Information:

• Minimum Master's degree or equivalent in a quantitative discipline—science, technology, engineering mathematics, or quantitative finance.
• 3 or more years of experience in a professional role is preferred.
• Excellent 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.

Location(s): Canada : Ontario : Toronto
Scotiabank is a leading bank in the Americas. Guided by our purpose: "for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.