Purpose The Global Model Risk Management area provides independent and consistent model validation and approval across various risk types, including market risk, retail/non-retail credit risk, operational risk, capital models, Anti Money Laundering (AML) and other key risk/financial models. The senior analyst provides support to manager/senior manager in the validation of Canadian and International retail/non-retail credit adjudication and behavior models, credit retail strategies, market risk, capital models as well as IFRS9 models. This position involves activities related to model validation work including data management and model quality assurance testing/validation to establish overall soundness of the credit risk measurement, delivery of various ad-hoc validation assignments, collaboration with the model development teams and business lines, and communicating results to model owners, ensuring compliance with internal framework and regulatory requirements. He/she may also communicate and negotiate with the different counterparties regarding issues identified during the validation. Accountabilities - Validate retail scoring (adjudication/behaviour/collection) models and non-retail adjudication models. - Validate retail credit strategy models (including adjudication, behaviour, collection). - Validate IFRS9 provisioning models for retail and business banking portfolios including all parameters (PD, LGD, Lifetime, SIR, EAD) and ECL assessment. - Conduct annual review of market valuation models (valuation of financial instruments, pricing of them or VAR models). - Conduct comprehensive review of the data processing, including the independent replication of data extraction and data manipulation steps, as well as assessing the suitability and sanity of the data sources. - For the model being validated, review the methodology implemented for reasonableness and applicability, assess soundness of model methodology, review the architecture of the software application implementing the model, perform quantitative tests and qualitative assessments of the model, execute independent calculations, and analyze/interpret model output. - Raise and effectively communicate the validation results and findings to the model owners, prompting appropriate action to address the identified deficiencies in data or modelling processing, which may lead to model recalibration and methodology enhancement. - Responsible for completing draft validation reports and submission of all necessary documentation related to validation assignments to Manager/Senior Manager; ensure accuracy and completeness of archived information and related documentation to allow independent third-party review of the validation work performed. - Establish communication with model owner/developers to understand model rationale and issues; maintain relationship with key contacts as identified for each validation. - Maintain collaborative relationship with clients. - Provide support to Senior Manager to respond to ad hoc, regulatory and audit requests. - Recommend and enforce improvements to tests/methods to fulfill internal validation needs and to align (if applicable) with industry practices. - Support Senior Manager in keeping the inventory system updated. - Comply with internal policies, procedures, and regulatory requirements where applicable. - Provide support to resolve outstanding audit and regulatory issues, and to respond to ad hoc senior management and regulatory requests. Reporting Relationships - Primary Manager: Sr Manager Model Validation - Direct Reports: NA - Shared Reports: NA Education / Experience / Other Information - 1.5 years of experience in data management or data architecture, with familiarity and comfort in handling large data. - 1.5 years of experience in the development and/or validation of credit risk (credit assessment models, scoring or IFRS9 provisions models) or market risk models is desirable. - Knowledge of risk predictive models, time series and mathematical statistics. - Knowledge of the regulations of local financial regulators in relation to provisioning methodologies, Basel II and IFRS9. - Exposure or experience in other risk functions such as credit risk, provision models, market risk, or operational risk management also desirable. Required Functional (Technical) Competencies: - Sound understanding of various modelling techniques and comfortable conducting various testing. - Working knowledge of statistical techniques and proven ability to employ these to analyze large sets of data. - Ability to effectively utilize relational databases and SQL queries for data analysis. - Proficiency in constructing and executing distributed queries from a variety of databases/sources is required. - Excellent verbal and written 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 and techniques pertaining to credit risk management – including their practical implications and limitations is desirable. - Ability to speak and write in English would be desirable. #J-18808-Ljbffr Analyst