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Manager, Ifrs 9 Modelling

4 months ago


Toronto, Canada Scotiabank Full time

Requisition ID: 177522

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

**Purpose of Job**:
As Manager, IFRS 9 Modelling & Analytics, Enterprise Stress Testing, you will contribute to the overall success of IFRS 9 credit risk modelling, analytics, and reporting for retail and small business portfolios. You will ensure specific individual goals, plans, and initiatives are executed / delivered in support of the team’s business strategies and objectives. You will also ensure all activities conducted are in compliance with governing regulations, internal policies, and procedures.

You will report directly to a Senior Manager or Director and be a critical member of the team overseeing the forward-looking probability of default (PD) and loss given default (LGD) models used to estimate credit risk for retail and small business lending products. With access to a modern machine learning stack that includes open-source development environments, you will assist in model development, implementation, and maintenance as we develop new methodology and models to replace the current suite. You will collaborate, on a regular basis, with a wide range of stakeholders and internal/external partners including Model Validation and Approval, Retail Provisions, Compliance, and Audit.

**Responsibilities**:

- Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems, and knowledge
- Develops credit risk models for the retail and small business portfolios that predict probability of default or loss given default for IFRS 9 provisioning and financial reporting
- Documents all models and processes developed and works with the model validation team to ensure timely and satisfactory validation
- Supports the integration of new models into IFRS 9 and Enterprise-Wide Stress Testing analytics and reporting processes
- Works with stakeholders and technology partners to implement and test the models in user acceptance testing and production environments
- Understands how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions
- Actively pursues effective and efficient operations of his/her respective areas, while ensuring the adequacy, adherence to and effectiveness of day-to-day business controls to meet obligations with respect to operational risk, regulatory compliance risk, AML/ATF risk and conduct risk, including but not limited to responsibilities under the Operational Risk Management Framework, Regulatory Compliance Risk Management Framework, AML/ATF Global Handbook and the Guidelines for Business Conduct

**Job Requirements**:

- Advanced degree in Economics, Finance, Statistics, Mathematics, Physics, Engineering or other related quantitative discipline
- Predictive modelling or machine learning, statistical, and programming skills gained through work experience, a graduate degree, or other advanced training in a quantitative discipline
- Experience with Python or R including data processing with pandas or dplyr
- Excellent communication skills and the ability to communicate with stakeholders across a wide variety of functions, including the ability to clearly summarize and display data
- Experience with Linux or UNIX systems and version control software such as Git is required

**Nice To Have**:

- Domain expertise in retail credit risk and IFRS 9
- Experience with pyspark or sparklyr for data wrangling
- Experience with matplotlib, plotly, seaborn, or ggplot2 for data visualization
- Power user of Microsoft Office (Excel, Word, PowerPoint)

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.