Managing Director, Risk Modeling (2758)
Remote - Toronto, Ontario, Canada
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Job Number: REQ2758
Location: Option to work remotely from anywhere in Canada (occasional travel to Calgary/Edmonton will be required)
Apply by: November 7, 2021
Leader: VP, Risk Modeling & Analytics
Reporting to the VP Risk Modeling & Analytics, the Managing Director, Risk Modeling provides leadership and strategic business direction by evolving risk measurement through the ownership of ATB’s stress testing and credit risk forecasting models.
This senior leadership role leads the modeling team responsible for designing, developing, implementing and monitoring the models used to understand performance under normal business cycles and stress events, including IFRS loan loss models, stress testing models and non-consumer risk rating scorecards. The role is viewed as a critical source of insight into the measurement of the risk in ATB’s portfolios and will play an integral role in advancing strategies to realize an optimal credit portfolio through the delivery of A-IRB caliber models.
The Risk Modeling team will be a driving force in the evolution of our risk practices and will ensure we keep in step with the ever changing banking environment. Through collaboration within and outside Risk Management the incumbent to the role is accountable for leading the research and implementation of a multi-year model development and maintenance plan that advances ATB’s existing loan loss and stress testing model capabilities. The role will lead the proactive development of industry standard quantitative tools, processes and practices aligned with the expectations of domestic and global regulators who supervise financial institutions of ATB’s size and complexity, and which offer true strategic value to ATB.
The Managing Director is ultimately accountable for developing a plan, garnering enterprise support, and for implementation of industry relevant, and ATB appropriate risk measurement tools that support the optimization of the risk and return relationship and deliver future based insights.
Provide oversight and direction to activities undertaken by the modeling team to ensure that deliverables are in line with applicable regulatory obligations (eg, Basel, IFRS) and provide value to business activities (ex. support the optimization of the risk and return relationship and aid in defining an optimal credit portfolio).
- Lead and support enhancement for risk measurement models underpinning ATB’s risk appetite statement. Works closely with Risk Management teams, Treasury and ATB’s Areas of Expertise to develop models that forecast performance under stress and normal circumstances and enable an optimal portfolio design.
- Drives the research and implementation of quantitative methods that estimate loan portfolio performance measures (such as Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), and supporting rating transition matrices) with A-IRB caliber models.
- Lead the ongoing development of portfolio forecasting, scenario analysis and stress testing models to assist in producing sophisticated analytics for the purpose of providing senior management with more accurate near-term and long-term forecasts, including the analytics used for ATB’s Internal Capital Adequacy Assessment Process (ICAAP).
Develop and implement a path for the evolution to A-IRB caliber tools used in ATB’s risk rating systems, models, and measurement tools underpinning Risk Appetite.
- Collaborate with internal business partners and stakeholders to investigate and/or analyze issues, generate new ideas, identify opportunities, develop appropriate business solutions and oversee implementation of solutions.
- Communicate with, and obtain executive support for the model development and maintenance program.
- Develop relationships with consulting firms, regulators, and other thought leaders to ensure ongoing successful compliance with provincial, federal and global regulatory standards of financial institutions.
- Compile, promote, and gain support for business cases to implement increasingly sophisticated risk rating systems, methodologies and tools.
Responsible for model risk identification and mitigation for models owned by the Risk Modeling and Analytics team.
- Working with the Model Risk Management Team (and Internal Assurance), lead the development of model documentation, support model vetting and validation activity, and ensure timely remediation of model risk and internal assurance findings and recommendations.
- Oversee the appropriate use and ensure the ongoing validity of risk models through the effective implementation of ATB’s model risk policy/framework.
- Build, develop and nurture a high performing modeling team that supports the advancement of ATB’s risk measurement and stress testing capabilities.
- Establishing performance objectives, measuring and providing timely feedback;
- Defining clear roles, tasks and expectations;
- Provide direction, coaching and training as required, developing and implementing plans for the evolution/ development of modeling capabilities including machine learning techniques.
- Address skill gaps as identified.
- 10+ years of Financial Institution experience which includes 5+ years in progressively senior leadership roles focused on credit risk modeling.
- Master’s degree in business, mathematics, statistics, economics, physics, engineering or a related field.
- CFA, PRM or FRM would be an asset.
- Strong programming experience with SAS and Python, including advanced statistical applications and machine learning.
- Extensive expertise in credit risk assessment, including A-IRB model implementation using statistical and advanced quantitative methods, including machine learning.
- In depth understanding of stress testing and scenario analysis in a financial institution setting including Basel requirements as implemented in OSFI capital requirements guidelines, as well as ICAAP and stress testing guidelines.
- In depth understanding of IFRS-9 standards for loan loss modeling and forecasting, including PD, LGD, EAD, CCF and SICR.
- In depth understanding of model governance practices and regulations, including BCBS-239.
- You are a strong relationship builder with a bias for action, and possess robust experience to negotiate and present complex issues effectively in the organization and influence others using strong oral and written communication.
- You possess the ability to plan and oversee implementation of large scale initiatives with experience in change leadership.
- You are able to consistently identify value opportunities for ATB and ATB clients; shape agenda and priorities in and beyond their own domain.
- You possess and actively demonstrate leadership skills in working with senior management and proven ability to work with a team, build strong relationships, and collaborate to achieve results.
- You have a proven track record of delivering results and driving change within the organization.
- You exemplify client focus, team driven mentality; serving as a role model for teammates.
At ATB, we know that highly talented people can readily transfer their skills. If you believe your skills and experience are transferable, please consider putting your name in the running.
Online applications are preferred. Please let us know if you require any accommodations.
All ATB Financial team members are required to disclose their vaccination status and provide proof of vaccination, or complete rapid testing, as a condition of employment to help support client and team member safety.
Purpose. Growth. Advancement. Fun. Rewards… learn about our perks and benefits.
A little about ATB:
We are Alberta’s largest, home grown financial institution and for the last 80+ years, we’ve transformed people’s understanding of what banking can–and should–make possible. Today, 5,500+ ATB team members embrace a growth mindset in order to help bring ATB’s story to life, delivering happiness to our customers and team members alike. It’s why we’re also a highly sought after, award-winning employer. The best part is, we’re just getting started. Join us, and create happiness.
To learn more about atb, visit atb.com.
What happens next?
If you are shortlisted for this opportunity, you will hear from us after the posting close date regarding next steps. We will also keep your application on file for future roles.
We are an equal opportunity employer. Find out more about what to expect when applying.
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