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Model Development: Design and develop credit risk stress testing models that forecast credit quality migration under stressed macroeconomic conditions for retail portfolio. This involves models for PD, downgrade rates, and LGD.
Stress Test Implementation: Apply these models to generate stress testing results – including ECL, PCL, and RWA – under various macroeconomic scenarios. Continuously optimize code repositories to ensure efficiency, accuracy, and production-readiness.
Result Analysis and Reporting: Conduct detailed analysis to validate the accuracy and explainability of model outputs. Develop robust data visualization tools and standards to support complex scenario analysis. Prepare and deliver stress testing reports to internal stakeholders and external regulators, including OSFI.
Emerging Risk Analysis: Perform supplementary analyses and develop methodologies to address emerging risk themes such as climate change, geopolitical instability, elevated consumer indebtedness, and housing market pressures etc.
Cross-Functional Collaboration: Collaborate with model validation, internal audit, and other model development teams (e.g., AIRB, IFRS 9, Capital Management) to ensure alignment with industry best practices and maintain model compatibility and compliance across frameworks.
Manager, IFRS9 Modelling, Enterprise Stress Testing
Toronto, ONPosted 1 weeks ago