Canada's Challenger Bank™
Equitable Group Inc. trades on the Toronto Stock Exchange (TSX: EQB and EQB.PR.C) and serves a growing number of Canadians through Equitable Bank, Canada's Challenger Bank™. Equitable Bank has grown to become the country's eighth largest independent Schedule I bank with a clear mandate to drive real change in Canadian banking to enrich people's lives. Founded over 50 years ago, Equitable Bank provides diversified personal and commercial banking and through its EQ Bank platform has been named #1 Bank in Canada on the Forbes World's Best Banks 2021 list. EQ Bank provides state-of-the-art digital banking services, like the Savings Plus Account that reimagines banking by offering an everyday high interest rate, plus the flexibility of a chequing account, as well as a wide range of smart banking solutions for Canadians, like fast international money transfers, US dollar accounts and a suite of registered products.Title:
Data Scientist, Credit Risk (Contract Consultant)Department:
Credit RiskReports To:
Senior Director, Model Risk ManagementDuration:
Purpose of the Job
The Data Scientist, Credit Risk reports to the Senior Director, Model Risk Management (MRM) and plays an important role in the development of strategies to validate all credit risk models applied in production on an enterprise-wide basis, and in executing on the required validation procedures.
In this role, you will work in close partnership with the Senior Director, MRM and the Model Development team. You will validate model methodology, evaluate the reasonability of assumptions, identify model use restrictions and limitations, exam the quality of model inputs; establish benchmarks; conduct additional quantitative and qualitative analysis, articulate findings, recommendations, and conclusions, and complete the model validation report that meets the bank’s model risk management standards.
Your work will utilise various statistical and/or machine learning techniques on models for credit risk management that include AIRB, IFRS 9, ECL and related ICAAP models, as well as analysis of modeling data and assumptions.
Our Model Risk Management team consists of some of the industry’s most seasoned professionals. The Consultant will be given the opportunity to access an impressive wealth of knowledge in a friendly and respectful environment and contribute their own insight and creativity.Main Activities:
The Consultant is responsible to support SDMRM in the following areas:
Model Validation Projects (80%)
- Conduct mini survey directed by SDMRM to keep up with the pulse of the latest development of the modeling techniques and/or industry practices.
- Support the development of a vetting/validation strategy, schedule, and detailed plan for models in scope.
- Enhance KPIs/KRIs and related tools for model performance evaluation and ongoing monitoring.
- Produce validation reports according to the policy and template. Clearly state passing/fail conclusion, approved usage and any use restrictions, any approval conditions. Identify model limitations, weakness, and potential impact and/or implications to model outcomes.
- Ensure timely and effective communications with stakeholders on validation process, expected timeline, material observations/concerns, and constructive feedback.
- Ensure adequate support and effective communications with SDMRM on tracking validation projects and potential issues and/or observation.
- Ensure key information such as model review dates, conditions and triggers are captured accurately in the model risk management system.
- Assess model risks according to MRM’s model risk assessment instructions.
Model Risk Management Culture Enablement (10%)
- Keep up with industry trends and practices on model risk management, and act as a sounding board to SDMRM and other management on model risk manners.
- Educate, influence, and hold accountable key stakeholders to manage model risk for in-scope models according to the Bank’s Model Risk Policy and relevant OSFI guidelines (for example, OSFI CAR Chapter 5 and 6, E-23 Model Risk Management Guidance, E-19 Internal Capital Adequacy Assessment Program, E-18 Stress Testing), RCM-13 (Regulatory Compliance Management) and Bcbs-239 (risk data aggregation and risk reporting).
Technical Input (5%)
- Provide technical input to model developers and/or risk management groups in the development of models to proactively assist the business resolve model risk issues. The input provided should be managed effectively to ensure that Model Validation independence will not be compromised.
- Share knowledge of models and validation projects with other validators to ensure transfer of knowledge across Model Validation.
- Develop and/or enhance the model validation test plan and the testing library to modernize the validation tools.
Client Relationship Management (5%)
- Develop and maintain effective relationships with the business client, risk management and technology to understand and complete the model validation request.
- Escalate difficult or complex project-related client issues to SDMV or the Project Manager for resolution.
- Masters degree or Ph.D degree in Mathematics, Mathematical Finance, Statistics, Engineering, Finance, Economics or equivalent quantitative background.
- Seniority varies, minimum of 2 years (manager equivalent) or minimum of 7 year (Senior manager equivalent) direct experience in the financial industry in model development or validation of Retail, Commercial, or Corporate Credit Risk models is required. Experience with ICAAP, AIRB or IFRS 9 is essential.
- Good knowledge in model risk management principles and practices.
- Strong statistical and quantitative knowledges, comfortable in performing advanced data analysis and providing presentations.
- Expert in at least two of programming languages/tools preferred. This may include Python, R, SAS, C++, C#, Java and Matlab.
- Developed project management and time management skills.
- Strong technical documentation and report writing skills.
- Competency: Analytical thinking, Result orientation with execution excellency, Strategic thinking, and Communication.
Equitable Bank is an equal opportunity employer and encourages applications from all qualified candidates. Accommodations are available on request for candidates taking part in all aspects of the selection process. All candidates considered for hire must successfully pass a criminal background check and credit check to qualify for hire. While we appreciate your interest in applying, an Equitable recruiter will only contact leading candidates whose skills and qualifications closely match the requirements of the position