Risk Modeling Specialist

1 month ago

Toronto, Ontario, Canada Scotiabank Full time
Enterprise Stress Testing Role

Scotiabank is seeking a highly skilled Risk Modeling Specialist to join our Enterprise Stress Testing team. As a key member of our team, you will be responsible for designing and running the Bank's stress testing program, focusing on credit risk stress testing of our portfolio.

Key Responsibilities:
  • Develop and implement credit risk models using technology platforms, primarily utilizing Python, to forecast credit rating migration probabilities and 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 dashboards and other visualization tools to support analysis across multiple macroeconomic scenarios and provide a holistic view of the credit portfolio's performance during stress.
  • Collaborate with model validation, internal audit, and other model development teams to ensure stress testing models are compatible and up to date with 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.
Requirements:
  • Advanced degree in Statistics, Economics, Finance, Mathematics, Data Science, or other related quantitative discipline.
  • Advanced quantitative modeling skills, including advanced statistical models, machine learning, data science/analysis, and econometric models.
  • Experience with Python is required, with experience with Spark being an asset.
  • Working knowledge of basic Linux or UNIX systems is an asset, as is experience with version control software (e.g. Git).
  • Experience in working with large datasets and optimizing 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 We Offer:
  • A rewarding career path with diverse opportunities for professional development.
  • Exposure to multiple aspects of the bank's financial profile, such as balance sheet growth, provisions for credit losses, and capital adequacy assessment.
  • The opportunity to join a forward-thinking company surrounded by a collaborative team of innovative thinkers.
  • A competitive compensation and benefits package.
  • An organization committed to making a difference in our communities – for you and our customers.
  • An inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success.

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