Support the development of data infrastructure required for IFRS-9, Economic Capital and BCAR Production Validation. Contribute to A-IRB model development and model validation activities. Build IFRS-9 and Economic Capital models that meet both internal and regulatory requirements. Develop code in SAS for ECL, Economic Capital and RWA calculation, analysis and reporting. Operate production processes to calculate Economic Capital and ICAAP. Conduct stress testing of IFRS-9 ECL, Economic Capital and RWA. Report final risk numbers to senior management.
- You must be legally entitled to work in Canada prior to submitting an application to this job posting.
- Based in Toronto, Canada.
- Master or Ph.D. degree in Econometrics, Statistics, Mathematics or Financial Engineering.
- 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 (data cleansing, reconciliation, validation).
- Experience with statistical and econometrics time-series modeling, linear regression, etc.
- Expertise in SAS programming.
- 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.