Manager, Enterprise Stress Testing

2 months ago

Toronto, Canada Scotiabank Full time

Requisition ID: 207881

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

Enterprise Stress Testing's ("EST") mandate is to design and run the Bank's stress testing program. We need a strong individual to help with credit risk stress testing of the Bank's portfolio. You will get the opportunities to apply your technical skillset and analytical mindset in building credit risk models and providing stress testing insights across geographies and products. This role has the potential for direct impact on business strategy 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 models using technology platforms, primarily utilizing Python. It involves models that forecast credit rating migration probabilities as well as models that project point-in-time values for Probability of Default (PD) and Loss Given Default (LGD) 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 support analysis across multiple macroeconomic scenarios and provide a wholistic/separated view of the credit portfolio's performance during stress
  • Collaborate with model validation, internal audit and other model development teams (AIRB, IFRS 9, Capital Management etc.) to ensure stress testing models are compatible and up to date with the industry best practices
  • 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 skills that will enable you to succeed in this role? - We'd love to work with you if you have:

  • Advanced degree in Statistics, Economics, Finance, Mathematics, Data Science, or other related quantitative discipline
  • Advanced quantitative modeling skills (e.g., advanced statistical models, machine learning, data science/analysis, econometric models)
  • Experience with Python is required. Experience with Spark is an asset.
  • Working knowledge of basic Linux or UNIX systems is an asset. Experience with version control software (e.g. Git) is an asset
  • Experience in working with large dataset and optimization of code
  • Experience in credit risk modeling related to PD and/or LGD
  • Stress testing experience is desirable
  • Strong communication skills
  • 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

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 committed 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.

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