Manager, Risk Data & Model Implementation
The Work
The Manager, Risk Data & Model Implementation (“MDMI”) reports to the Director, Risk Data & Model Implementation (“DRDMI”), and supports the DRDMI, the Director, Risk Data & Model Implementation and other Senior Management concerning all aspects of Enterprise Risk Management (“ERM”) activities within the Bank under the aspects of Model Implementation (“MI”) with the risk management function.
The Manager will play a crucial role in supporting the model implementation and risk delivery, and shape its future in the Bank. With the multidisciplinary nature of this role, the ideal candidate is expected to have a solid understanding of Credit Risk Model development and delivery, data management pipeline and their related technologies. The role will be accountable for delivering implementation specifications and conduct production data assessment for any model implementations for EQB’s Advanced Internal Ratings Based (“AIRB”) approach for Pillar I regulatory capital models, the Internal Capital Adequacy Assessment Process (“ICAAP”) for Pillar II credit risk models, for IFRS 9 provisioning. This role will play a crucial supporting role in building an efficient way to implement risk models and risk reporting data within Equitable Bank.
The Core Responsibilities
Understand risk model needs and gather detailed requirements for model implementation and model ongoing monitoring. Translate gathered requirements from Model Development and Risk reporting team into production model implementation requirements for IT teams and Business Units teams.
Work with Model Development, Risk Reporting, and IT to build an efficient model development stream that best supports data driven risk management in the Bank.
Contribute to the development of Model Monitoring solution used for ongoing monitoring of AIRB/ICAAP/IFRS9 models using python.
Document model specifications, production data attestation, and implementation details of the AIRB models.
Conduct thorough testing of development data and production data for model implementation to ensure accuracy and reliability.
Develop API and in some cases GUI for various application including the model monitoring framework.
Collaborate with model development, model validation, and IT teams to ensure model implementation is correct and expected.
Leverage leading-edge technology to automate model implementation to shape the future of Risk Delivery in the Bank
Support risk models end-to-end testing to ensure the flow between various application from data to models and downstream processes is accurate and flawless. This requires in-depth understanding of the models and ability to understand various technologies involved.
Design, develop, maintain, and run processes to load and transform data from external sources.
Create, maintain and run the data pipeline to receive data from external data providers and supply data were needed using cutting-edge technologies.
Prepare summary statistics on external data (e.g., trends, completion rates) for relevant stakeholders such as model development, model validation teams.
Prepare ad-hoc analysis to support model development e.g., the trend in realized LGD over time.
Prepare and submit internal default and loss data to GCD.
Develop and maintain effective relationships with the model development, model operation, model validation, technology teams, and business units to ensure AIRB program success.
Escalate difficult or complex project-related client issues to Director, risk data & model implementation, and/or to senior leadership.
Model implementation and model monitoring (75%)
Risk Data Management (15%)
Client Relationship Management (10%)
Let's Talk About You
Degree in Computer Science, Mathematics, Mathematical Finance, Statistics, Engineering, Finance, Economics, or equivalent quantitative background.
2+ years’ experience in risk model development or implementation at other Banksor Fintechs, with proven expertise in end-to-end risk model lifecycle.
Advanced database and programming skills in object-oriented programming languages (e.g., SQL, Python Programing) and familiarity withPython Flask/FastAPI, Azure Cloud Services are required.
Knowledge of Basel AIRB CAR guidelines, OSFI Implementation Notes, and BCBS-239.
Knowledgeof AIRB, IFRS 9, and ICAAP principles.
Ability to identify and raise key risks, and to provide Senior Management with viable options and recommendations to support effective decisions.
Solid and proven communication and presentation skills.