Purpose The Global Model Risk Management area providesindependent and consistent model validation and approval acrossvarious risk types, including market risk, retail/non-retail creditrisk, operational risk, capital models, Anti Money Laundering (AML)and other key risk/financial models. The senior analyst providessupport to manager/senior manager in the validation of Canadian andInternational retail/non-retail credit adjudication and behaviormodels, credit retail strategies, market risk, capital models aswell as IFRS9 models. This position entails activities related tomodel validation work including data management and model qualityassurance testing/validation to establish overall soundness of thecredit risk measurement, delivery of various ad-hoc validationassignments, collaboration with the model development teams andbusiness lines, and communicating results to model owners, ensuringcompliance with internal framework and regulatory requirements. He/she may also communicate and negotiate with the differentcounterparties regarding issues identified during the validation. Accountabilities - Validate retail scoring(adjudication/behaviour/collection) models and non-retailadjudication models. - Validate retail credit strategy models(including adjudication, behaviour, collection). - Validate IFRS9provisioning models for retail and business banking portfoliosincluding all parameters (PD, LGD, Lifetime, SIR, EAD) and ECLassessment. - Conduct annual review of market valuation models(valuation of financial instruments, pricing of them or VARmodels). - Conduct comprehensive review of the data processing,including the independent replication of data extraction and datamanipulation steps, as well as assessing the suitability and sanityof the data sources. - For the model being validated, review themethodology implemented for reasonableness and applicability,assess soundness of model methodology, review the architecture ofthe software application implementing the model, performquantitative tests and qualitative assessments of the model,execute independent calculations, and analyze/interpret modeloutput. - Raise and effectively communicate the validation resultsand findings to the model owners, prompting appropriate action toaddress the identified deficiencies in data or modellingprocessing, which may lead to model recalibration and methodologyenhancement. - Responsible for completing draft validation reportsand submission of all necessary documentation related to validationassignments to Manager/Senior Manager; ensure accuracy andcompleteness of archived information and related documentation toallow independent third-party review of the validation workperformed. - Establish communication with model owner/developers tounderstand model rationale and issues; maintain relationship withkey contacts as identified for each validation. - Maintaincollaborative relationship with clients. - Provide support toSenior manager to respond to ad hoc, regulatory and audit requests. - Recommend and enforce improvements to tests/methods to fulfillinternal validation needs and to align (if applicable) withindustry practices. - Support Senior Manager in keeping theinventory system updated. - Comply with internal policies,procedures, and regulatory requirements where applicable. - Providesupport to resolve outstanding audit and regulatory issues, and torespond to ad hoc senior management and regulatory requests. Reporting Relationships - Primary Manager: Sr Manager ModelValidation - Direct Reports: NA - Shared Reports: NA Education /Experience / Other Information - 1.5 years of experience in datamanagement or data architecture, with familiarity and comfort inhandling large data. - 1.5 years of experience in the developmentand/or validation of credit risk (credit assessment models, scoringor IFRS9 provisions models) or market risk models is desirable. -Knowledge of risk predictive models, time series and mathematicalstatistics. - Knowledge of the regulations of local financialregulators in relation to provisioning methodologies, Basel II andIFRS9. - Exposure or experience in other risk functions such ascredit risk, provision models, market risk, or operational riskmanagement is also desirable. Required Functional (Technical)Competencies: - Sound understanding of various modelling techniquesand comfortable conducting various testing. - Working knowledge ofstatistical techniques and proven ability to employ these toanalyze large sets of data. - Ability to effectively utilizerelational databases and SQL queries for data analysis. -Proficiency in constructing and executing distributed queries froma variety of databases/sources is required. - Excellent verbal andwritten communication skills. - Hands-on programming skills,particularly in statistical and database modeling tools (SQL, SAS,R, Python, VBA, MATLAB, Angoss Knowledge Studio or similar). Ability to adapt to various programming languages and environments. - Knowledge of financial risk management, especially issues andtechniques pertaining to credit risk management – including theirpractical implications and limitations is desirable. - Ability tospeak and write in English is desirable. #J-18808-Ljbffr Analyst