Manager, Model Validation

3 weeks ago

Toronto, Canada Scotiabank Full time

Requisition ID: 171279

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

**Purpose of Job**:
The Model Validation & Approval area provides independent 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 responsible 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.

**Responsibilities**:

- Assist Senior Manager to validate 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 independent model validation, including reviewing model documentation, model programming/code, model methodology, data manipulation, model performance, etc.
- Build independent 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 validate portfolio credit risk projects (e.g. Moody’s RiskFrontier);
- Review all necessary documentation related to validation assignments. Ensure accuracy and completeness of archived information and related documentation to allow independent third party review of the validation work performed;
- Communicate 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, MATLAB, 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;
- Knowledge of stochastic calculus and probabilities is preferred.
- 1+ year of modelling experience in Risk Management of treasury, market risk and credit risk 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;
- 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.

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