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Senior Manager, Economics Capital Modelling

Equitable Bank, 30 St. Clair Ave West, Suite 700, Toronto, Ontario, Canada Req #823
Tuesday, October 29, 2019
Purpose of the Job

To support the bank’s transition to AIRB in developing Economic Capital models to satisfy the compliance requirements on modeling initiatives in Pillar 2 of BASEL Framework.

Main Activities:

Research and Develop ICAAP Economic Capital, Stress Testing / IFRS9 ECL and AIRB Capital Models.
Working knowledge of Economic Capital Modeling in the domains of Credit Risk (including Credit Concentration Risk), Operational Risk (including Legal, Regulatory Risk and Reputational Risk) and Business and Strategic Risk and etc.
Perform quantitative analysis to produce recommendations and reports in support of business initiatives, efficiencies, and potential strategies. This includes modeling design, development, process and utilization of sophisticated statistical modeling methods and tools.
Interacts with different business stakeholders regarding credit risk issues; formulates strategy recommendation by evaluates the risk in the overall loan portfolio. 
Support to design internal validation and ongoing performance tests for models such as PD, LGD and EAD.
Undertake ad-hoc projects such as peer benchmarking, migration analyses, risk reporting and methodology research. 
Maintains stress test models, risk models, and finding new initiatives for stress testing.
Provide guidance and mentoring to junior members of the Risk and Capital Analytics team to help them further develop their full potential.

Knowledge/Skill Requirements: 

The candidate must demonstrate the following skill set for this position:
A Master’s Degree in Statistics, Finance, Mathematics, Financial Engineering or a field related to the position requirements. 
2-5 years of working experience in model development and credit risk analysis in financial industry.
Knowledge of the mortgage industry (residential and commercial) would be an excellent asset.
Solid knowledge of risk rating systems and risk quantification parameters (PD, LGD, EAD), and credit risk modeling concepts.
Must be aware and know of data analysis/data mining and two or more statistical techniques (Logistic Regression, Linear Regression, Time Series Analysis, Decision Tress, Monte Carlo Simulation.) 
Expert proficiency of SQL, Excel VBA and Access database is required. 
Strong programming skills include knowledge of statistical programs (e.g. Matlab SAS, R, SPSS).
Excellent analytical, modeling and problem solving skills. 
Strong attention to detail.
Ability to manage time and work under strict deadlines.
Ability to handle multiple competing priorities (multi-tasking).
Ability to clearly communicate (written and verbal) technical, analytical/quantitative or conceptual information and ideas.
Solid interpersonal skills with a track record in developing strong working relationships across the organization.

Other details

  • Pay Type Salary
  • Equitable Bank, 30 St. Clair Ave West, Suite 700, Toronto, Ontario, Canada