Job Title or Location

Senior Manager, Credit Risk Stress Testing Modelling

Scotiabank - 957 Jobs
Toronto, ON
Full-time - Permanent
Posted 6 days ago

Requisition ID: 180961
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.

Enterprise Stress Testing's ("EST") mandate is to create and run the Bank's stress testing program. We need a strong individual to help with credit stress testing the Bank's portfolio. You will collaborate in building coherent, self-contained stress tests across geographies and products. This role has the potential for direct impact on judicious business decisions with stress testing as a decision-making tool by senior management in Global Risk Management as well as Finance executives and the Board.

Is this role right for you? In this role you, will:

  • Develop and implement the credit risk stress testing models using technology platforms, primarily utilizing R and Python, This includes creating models for projecting point-in-time values for Probability of Default and Loss Given Default as a function of macro-economic variables
  • Develop high-quality code to implement the selected methodology/models, ensuring they can be effectively executed in the operational/production environment to generate risk parameter projections needed for calculating credit loss metrics
  • Communicate and document model approaches, assumptions, model inputs used and modelling processes in a clear and concise manner
  • Collaborate with internal and external stakeholders, including model validation teams, internal auditors, and regulators, to ensure adherence to proper model risk management guidelines
  • Stay up-to-date with regulatory requirements and guidelines pertaining to credit risk modelling. Ensure compliance with applicable regulations and provide necessary information to regulators as required
  • Conduct supplementary analysis on model results to provide valuable insights into the main drivers of credit losses within each stress scenario
  • Collaborate with technology teams to source necessary data and optimize computing efficiency by leveraging appropriate technology frameworks
  • Provide assist to senior management by assisting with ad hoc stress testing analyses. This includes providing relevant data, conducting analysis, and delivering insightful reports to aid decision-making processes
  • Mentor and coach members of the team

Do you have the expertise that will enable you to succeed in this role? - We'd relish 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
  • Working knowledge of key credit risk concepts
  • Experience with R or Python is required. Experience with sparklyr or pyspark is an asset
  • Experience in credit risk modeling related to probability of default and loss given default. Specific stress testing experience is desirable
  • Strong communication expertise
  • Knowledge of stress testing, and general knowledge of a bank's financial metrics with a good understanding of credit products and provisions for credit losses (PCL)
  • Working knowledge of RWA and Regulatory Capital calculations under Basel III regulations is an asset
  • Experience with leading or working in transformational projects
  • Experience with delivering analytical and reporting solutions with business insights
  • Strong computer expertise in organizing and manipulating large datasets
  • Working knowledge of basic Linux or UNIX systems is desired. Experience with version control software (Git, SVN etc.) 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.
  • Internal development to assist your growth and enhance your expertise.
  • 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!

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.

Competition Number: 180961
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