Retail Risk Management (RRM) is committed to providing timely and accurate credit risk quantification solutions supporting the retail business lines.
The Expected Credit Loss Staging team is part of the Basel Infrastructure & Analysis (BIA) group within RRM and is responsible for the delivery and ongoing operations, supporting the expected loss provisioning under IFRS 9.
Reporting to the Manager Expected Credit Loss Staging, this role will work closely with the Model Implementation team, Loan Loss Analysis and Reporting team, Enterprise Risk Management and several other internal and external business partners.
Key Accountabilities include:
- Work proactively with the IFRS program team to gather requirements for the successful delivery of the program.
- Create/Update SAS scripts to code new business rule (requirements) due to IFRS 9 Model Changes
- Work with the manager of IFRS9 Program Delivery & Operations in order to deliver the IFRS 9 program and then transition that into business as usual.
- Populate/Update/Review pre-defined excel templates to apply IFRS9 Adjustments into vendor application (gCLAS)
- Work proactively and effectively with internal and external teams including BIA Model Implementation team, Enterprise Risk Management, and other supporting technology partners and ensure all the necessary inputs, including model risk parameters are staged into the expected loss calculator (gCLAS) accurately and on a timely manner.
- Engage stakeholders to address new tasks/changes specific within BIA ECL team (our team): Balance reconciliation, adjustments tracking, among others
- Assist the Loan Loss Reporting team in analyzing the expected loss and provision estimates by providing the trend information on various inputs.
- Support the ECL Reporting team in providing specific data (SAS output or excel files) required for their ECL analysis
- Ensure periodic model updates and product system related changes are captured in the staging process without delays and issues.
- Create SAS script to support BAT testing activities and PROD issues, for IFRS 9 Model Changes
- Work with the Model Implantation team and technology support teams to understand and document the assumptions, exclusion and adjustments related to the staging of various inputs.
- Ensure to follow the manual processes, and if there any new processes, document them as required. artifacts need to be documented and follow SOX controls
- Support the team with internal and external audit reviews and compliance attestations.
- Support management in providing evidence of the IFRS 0 ECL reporting, SAS scripts of excel files
- Strong working knowledge with preferably two or more years of hands-on experience using SAS - Mandatory
- Ability to work in a fast-paced, often deadline-oriented and dynamic environment.
- Experience working in both operational and project environments.
- Good inter-personal skills to build and maintain productive working relationships with various business partners across the Bank and at different levels of organization.
- Strong problem-solving skills, ability to independently identify and solve problems in an effective and timely manner.
- Strong communication skills (both written and oral).
- Strong ability to manage productive relationships with business partners and stakeholders.
- Have a good understanding of the basic drivers of retail credit risk and regulatory capital concepts.
- High proficiency in Microsoft applications (Excel, Word, and PowerPoint).
- Knowledge of IFRS and how it is applied would be an asset.
- Undergraduate degree in Finance, Statistics, Economics, or similar disciplines. Postgraduate degree would be an asset.
- Strong SQL knowledge.
- SQL or SAS Certification is considered as an asset.