Manager, Model Validation

2 weeks ago

Toronto, Canada Scotiabank Full time

Requisition ID: 205789

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

The Model Validation & Approval area provides self-reliant and consistent model validation and approval across various risk types, including market risk, credit risk, operational risk, capital models and other key risk/financial models.

The manager is primarily liable for the validation of models related to asset and liability management, market risk, credit risk and operational risk to ensure the overall risk measurement soundness. This includes collaboration with the model development teams under Group Treasury, Market Risk Measurement, Liquidity & Interest Rate Risk, and technology units to ensure models and methodologies are appropriate given our overall framework and regulatory requirements.

Job Responsibilities:

  • Assist Senior Manager to formalize Treasury related models, such as asset and liability management, liquidity, retail embedded options and economic capital. Review modeling processes to ensure that the models selected are appropriate. Ensure methodology is consistently applied across organization, and appropriately refresh the evolving industry best practice;

  • Conduct self-reliant model validation, including reviewing model documentation, model programming/code, model methodology, data manipulation, model performance, etc.

  • Build self-reliant replication benchmark and assist Senior Manager to develop validation test plan.

  • Assist Senior Manager to conduct research and develop benchmark validation techniques;

  • Assist Senior Manager to formalize portfolio credit risk projects (e.g. Moody's Risk Frontier);

  • Review all necessary documentation related to validation assignments. Ensure accuracy and completeness of archived information and related documentation to allow self-reliant third party review of the validation work performed;

  • Socialize validation issues/findings with model owners/developers and other counterparties;

  • Comply with internal policies, procedures and regulatory requirements where applicable;

  • Provide support to resolve outstanding audit and regulatory issues;

  • Provide support to large-scale projects as required;

  • Keep abreast of industry and regulatory developments, and evolving expectations

Job Requirements:

  • Proficient programming skills, such as Python, SAS, R, C++;

  • Sound understanding of various modelling techniques and comfortable to conduct various tests;

  • Excellent written and presentation skills to provide advice and explanation to various users of the market risk, credit risk and liquidity risk models;

  • Knowledge of financial risk management is preferred, especially issues and techniques pertaining to market risk management - including their practical implications and limitations;

  • 1+ year of modelling experience in Risk Management of treasury, market risk and credit risk preferred;

  • Exposure to market risk or liquidity risk management application and practice is preferred;

  • Exposure or experience in other risk functions such as asset and liability management (ALM) or credit risk or market risk is desirable.

  • Ability to manage efficiently multiple priorities;

  • Attention to details, independence, versatility and ability to effectively collaborate in teamwork;

  • Flexibility and creativity in problem solving.

  • Advanced degree in Applied Math, Applied Statistics, Applied Physics, Engineering or Finance (M.Sc. degree or above degree);

  • Other industry certifications or credentials will be assets (e.g., CFA, FRM/PRM)

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.

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