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Manager of ICAAP Reporting, Risk Analytics and Reporting

Equitable Bank, 30 St. Clair Ave West, Suite 700, Toronto, Ontario, Canada Numéro de demande858
19 novembre 2019

Job Title:             Manager of ICAAP Reporting, Risk Analytics and Reporting

Department:      Risk Capital and Analytics (RCA)

Reports To:         Sr. Manager of Risk Analytics and Reporting


Purpose of Job


Reporting to the Sr. Manager of Risk Analytics and Reporting, the incumbent will be responsible to implement, develop and enhance reporting capability with-respect-to Basel reporting, focused on enterprise-wide stress testing and the Internal Capital Adequacy Assessment Process (ICAAP).


This position will entail discussing with the retail and wholesale credit product, finance, and risk management areas key observations and conclusions derived from the data analysis and reporting and assisting in their use to manage product portfolio risk and profitability. The individual will use leading-edge technologies and develop innovative solutions in the following areas:


Data mining – making sense of some very large databases of credit risk related historical data;

Reporting – leveraging power BI to develop a suite of insightful reports for AIRB, ICAAP, and Risk Management. 

Capital Allocation – factoring risk adjusted return on capital into current Banking products by estimating credit risk imbedded in the Bank’s retail and wholesale credit product portfolios, and the amount of regulatory and economic capital the Bank needs to allocate against these portfolios.


The role will further support Risk Management in all aspects of the enterprise-wide risk management program for the identification and assessment of risks throughout the organization. The incumbent will develop reporting and monitoring of risk management issues, including the Management of Capital Adequacy Assessment and Planning Processes.


Main Activities:


ICAAP Development, Analytics, and Reporting

  • Develop and design a suite of ICAAP and stress test reports in Tableau to provide Sr. Management with insightful conclusions on current risks embedded in the mortgage portfolio and to optimize capital allocation    
  • Drive Internal Capital Adequacy Assessment Process (ICAAP) enhancements after consulting with all stakeholders including business units
  • Provide effective and timely delivery of enterprise wide stress testing, ICAAP, and Economic Capital analysis and reporting to internal and external stakeholders, including senior risk executives by working with business units to support the monthly and quarterly reporting of ICAAP
  • Support the determination and review of stress test scenarios and related macro assumptions for ICAAP scenarios
  • Develop, update and maintain our enterprise-wide ICAAP reporting process and procedural related documentation, focusing on risk adjusted return on capital (RAROC), Stress Testing, all risks in Pillar 2
  • Perform annual internal capital adequacy assessment program (ICAAP) and report results to the Risk Capital Analytics department
  • Participate in proposing risk limits for the purposes of capital adequacy
  • Proactively research regulatory needs and translate observations, emerging issues, and best practices into methodology and model enhancements, including Economic Capital (EC), and internal and external (i.e. regulatory) stress testing
  • Additional responsibilities will include assisting in IFRS 9 and AIRB analysis to explain deviations in expected loss, risk rating performance, and regulatory capital


Skills/Knowledge Requirements:


  • At least 5 years’ experience in a risk management role in a financial services environment (preferably mortgage lending)
  • Degree in a business (Finance, Accounting, Commerce) or a quantitative discipline (Applied Mathematics or Statistics, Engineering, Computer Science)
  • Good understanding and experience with operational risk and methodologies, model risk oversight, and internal assessment of capital
  • Comfortable using Microsoft products, including strong data analysis skills using Excel, SQL, and Matlab
  • High attention to detail, ability to review and recommend actions to solve business problems
  • Advanced communication skills sufficient to convey complex information and concepts into succinct opinions to a senior executive audience
  • Proven ability to communicate clearly (verbally and written), tailoring presentations to the audience
  • Strong organization, time management and multi-tasking skills; managing multiple deadlines at one time
  • Strong analytical ability for portfolio monitoring and stress testing
  • Three to five years’ experience in a “Canadian Schedule One Bank” in risk production and reporting, modeling and analytics for IFRS-9, A-IRB, Economic/Regulatory Capital and Stress Testing
  • Experience working with large data sets in SQL (data cleansing, reconciliation, validation)
  • Hands-on experience working with Moody’s Risk Frontier vendor solution for Economic Capital
  • Solid understanding of A-IRB, Economic Capital and IFRS-9 models
  • Strong knowledge of OSFI BCAR
  • Hands-on and detail-oriented reporting of risk numbers to senior management
  • You're a self-starter and driven to succeed. You are motivated by accomplishing your goals and delivering your best to make an impact

Autres détails

  • Type de paie Salaire
  • Equitable Bank, 30 St. Clair Ave West, Suite 700, Toronto, Ontario, Canada