The Manager is responsible for the quarterly production and analysis of the Bank’s Economic Credit Capital (ECC). This requires understanding the key inputs, outputs, and methodology for the ECC engine, Risk Frontier and Return on Economic Capital metrics. You will work on the bank’s credit portfolio data and the related risk parameters, such as PD, LGD, asset correlation R-squared etc. The manager is also responsible for the IFRS 9 Expected Credit Loss (ECL) reporting to international subsidiaries and units. This role involves analytical work around ECL and EC and supporting internal stakeholders and senior managements’ requests.
· Understand key components of the bank’s EC models.
· Develop / enhance strategic credit risk analytics and advisory applications, maintain / automate existing applications; design and develop “ad hoc” presentations and special projects in SQL and C++.
· Keep abreast with advances in credit risk analytics developments, products, and applications by vendors, consultants, regulatory agencies and competitors. Recommend/develop enhancements appropriate for the Bank.
· Perform independent analysis of potential enhancements to the existing ECL and EC models and communicate and document the results or findings
· Responsible for Quarterly EC production / concentration report and annual stress testing exercise.
· Understand the ECL calculator (the structure and script using SQL and Python) and ECL methodology
· Collaborate with internal stakeholders such as Internal Ratings Management, Enterprise Stress Testing, Information Technology & Systems (IT&S) business lines, and Enterprise Risk Management for methodology improvement to ECL and capital. Apply specialized knowledge of Expected credit loss methodology, in ECL analytics and implementation. Assist the internal and external ECL reporting and disclosure.
· Ensure compliance with relevant internal policies, procedures and regulatory requirements. Manage timely resolution of audit and regulatory issues.
EDUCATION/WORK EXPERIENCE/ DESIGNATIONS:
· Master’s degree in Math, Engineering, Finance, Physics, or other quantitative areas is required
· 3 years of relevant work experience (compensation will be corresponding to experience) is preferred
· Knowledge in regulatory capital requirements, credit product knowledge and capital modeling.
· Comfort and experience working in a project context and juggling multiple competing priorities
· Strong skills in statistical analysis, organizational and analytical skills.
· Strong programming skills in SQL, VBA, Matlab and/or SAS.
· Critical thinking skills and ability to work under tight timelines.
· Good verbal and written communication skills and proven problem solving skills.
· The incumbent works in a standard office environment under occasionally stressful conditions. Due to the complexity of measurements and models, problems arise frequently which the incumbent must resolve within tight deadlines.
· The incumbent uses a PC or workstation for a substantial part of the day and uses sight extensively.
Location(s): Canada: Ontario: Toronto
Contact Person: YoungBin ChoeEmail: YoungBin.Choe@scotiabank.com