Manager, IFRS 9 Analytics

Posted 4 months ago

The Role:

  • Actively participate in the design and implementation of the IFRS-9 end-to-end processes with a focus on risk.
  • Collaborate with key stakeholders in the IFRS-9 project, including Finance, Project Management, Model Validation, Risk Management, Modelling, Business Intelligence and Internal Audit.
  • Support the development of data infrastructure required for IFRS-9 and Economic Capital production.
  • Build IFRS-9 and Economic Capital models that meet both internal and regulatory requirements.
  • Develop code in SAS for ECL and Economic Capital calculations, analysis and reporting.
  • Contribute to A-IRB development and implementation program in line with emerging regulatory expectations.

Requirements:

  • You must be legally entitled to work in Canada prior to submitting an application to this job posting.
  • Ph.D. or Master degree in Financial Engineering, Mathematics, Statistics or Economics.
  • 3-5 years relevant experience with a large Canadian financial institution.
  • In-depth understanding of A-IRB, Economic Capital and IFRS-9 models.
  • Hands-on experience with modeling, implementation, reporting, analysis and validation with a large bank for IFRS-9, A-IRB, Economic Capital, Regulatory Capital and Stress Testing.
  • Hands-on experience with factor and correlation models for PD and LGD.
  • Experience with RAROC, credit risk models, market risk models and concentration risk.
  • Experience with statistical and econometric theory, logistic regression, linear regression, time series modeling, operations research and scenario based simulations.
  • Solid programming skills (i.e. SAS, SQL, R, C++, Matlab, VBA, etc.)

 

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