Senior Manager, Model Risk – IRRBB & Hedge Accounting

The position reports to AVP, Non-retail Model Validation group. Detailed accountabilities include:

• Lead a team of quantitative professionals to validate the TBSM Integration /Aggregation models for IRRBB reporting (xFP metrics, EVE and NII), Hedge Accounting (HA) reporting, and Funds Transfer Pricing (FTPs)
• Work with team to develop an effective and efficient validation testing plan based on structure / design of different aggregation system and complete validation in time to support various business initiatives and regulators' requirements.
• Supervise team's validation work to ensure capture all material & critical model limitations and execution / implementation accuracy of the validation testing.
• Support team to have an effective communication with different stakeholders from 1st line and in-time solve model limitations / issues to meet validation lead time target.
• Work with team to deliver high quality model validation reports with adequate information and justification to support validation conclusions and Audit / regulator review / assessment of validation process and validation analysis.
• Recommend the approval of the models or other corrective actions based on the independent vetting and validation.
• Maintain full professional knowledge of techniques and developments in the quantitative analysis in IRRBB, and HA, and share knowledge with business partners and senior management.
• Assume a leadership role in developing standards and procedures for vetting and validation that are compliant with the Bank’s internal Model Risk Policy, adhere with industry best practices, and meet regulatory requirements.
• Lead and develop internal team.
• Ensure performance objectives are set for internal staff and that performance feedback is provided on a regular basis.
• Communicate group objectives and strategies and align team activities in support of business objectives.
• Support employee development activities, coach, and support direct reports in meeting their personal development objectives.
• Respond to requests from both Canadian and U.S. regulators, internal and external audit in their review/audit of risk models and vetting/validation process and procedures. Provide information and assistance as required.
• Work effectively with internal model development group, Audit, and other internal partners to ensure risk models meet required Bank standards for use.

Job Requirements

• Advanced quantitative skills with post-secondary degree in one or more of the following areas: finance, financial engineering, statistics, economics / econometrics, mathematics
• In-depth knowledge of financial products / portfolios regarding cash flow pattern, embedded optionality, key factors impacting cash flow, and their pricing / valuation approach as well as financial / regulatory reporting in IRRBB, liquidity, and HA
• 4 years + Experience in either developing or validating large TBSM reporting systems in IRRBB, FTP or HA; and 1 years + Experience in managing a small team.
• Proficient in relevant programming languages such as, SAS in MLE, SQL, and Python. Familiarity with JSON is an asset.
• Excellent verbal and written communication skills
• Excellent time / project management and multitasking skills with minimal supervision.