Senior Manager, Research and Financial Engineering
Canada's Challenger Bank™
Title: Senior Manager, Research and Financial Engineering
Department: Risk Management
Reports To: Director, Basel Compliance and RFE
Purpose of the Job
This role is responsible for providing expertise and develop solutions to the Bank’s quantitative issues around risk modelling and methodologies with informed confidence. Leveraging deep technical skills to enhance different credit risk models under AIRB, ICAAP and IFRS 9 for both retail and wholesale portfolios. Working closely with the modelling and business units, the incumbent will conduct statistical and econometric analysis to develop/enhance models based on best practices and theoretical foundations.
- Conduct research on local and global regulatory guidelines, best practices and technique for estimation of expected and unexpected losses.
- Research to cover regulatory Pillar 1 and Pillar 2 risks, expected loss, stress testing, macro and micro driver forecasting and other aspects of risk practices.
- Issue quarterly reports on best-practice and develop a reference library for ongoing and future improvements to methodologies.
- Support and specify best-practices for estimation of Credit Risk AIRB Regulatory Capital, ICAAP Economic Capital, Stress Tests, and IFRS9 ECL.
- Advance research on inter-risk evaluation and capital allocation methodologies in support of ICAAP, Capital Planning and Performance Evaluation.
- Oversee performance evaluation of existing modelling architecture and methodologies applied in AIRB, ICAAP, IFRS9 and other enterprise-wide risk models.
- Provide robust second line oversight of bank’s ICAAP risk assessments.
- Provide expertise in the development of systems, models and technologies for scenario forecasting and promote their use for Enterprise Risk Management and Business Decision Support.
- Initiate and coordinate methodology integration with partners across the organization and provide subject matter expertise in designing prototypes or financial engineering specifications that reflect on best-practices in risk modeling.
- Provide expertise in the review of existing risk/expected loss related models and model methodologies and make recommendations for upgrades by proactively engaging with stakeholders.
- Provide guidance and mentoring to junior members of the RFE & Basel Compliance team.
- 6+ years of experience developing or validating credit risk and stress testing models (PD, LGD and EAD) under AIRB, ICAAP, or IFRS 9 regimes, based on best market industry practices for both retail and wholesale portfolios;
- A PhD or master’s degree in mathematical finance, financial engineering, statistics, econometrics or other relevant postgraduate degree;
- High attention to detail, ability to review and recommend actions to solve business problems
- Programming competency with at least two languages (SAS, R, SQL Python, Matlab);
- Strong team player and ability to work under pressure to manage several projects at once;
- Strong analytical ability for portfolio monitoring and stress testing
- Experience working with large data sets in SQL (data cleansing, reconciliation, validation).
- Excellent understanding of AIRB, Economic Capital and IFRS9 models
- Job Family Equitable Bank
- Pay Type Salary
- Equitable Bank, 30 St. Clair Ave West, Suite 700, Toronto, Ontario, Canada