Requisition ID: 104877Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
As the Manager, Pre-Provision Net Revenue Modelling, you will design, implement and the execute analytical models that support the Banks stress testing processes. There is particularly focus on revenue modelling associated with Enterprise Wide Stress Testing and related processes regarding balance sheet optimisation and risk appetite metrics.
What you’ll do in this role?
Develop and maintain the Pre-provision net revenue (PPNR) models for the wholesale and retail portfolios using technology platforms, primarily in R and Python. The models will assess the impact of macroeconomic scenarios and contagion events, using internal expertise and historic information. The scope is over all revenue-generating products, including retail, non-retail and wealth. Primary (but not exclusive) drivers which need to be projected are business volumes and margins.
Develop and implement regression models using highly developed technical skills for projecting revenue as a function of macro-economic time series variables
Conduct supplementary analysis on model results to provide insights into key drivers in each stress scenario
Develop software code implementing the selected methodology to be run in the operational/production environment and generate risk parameter projections
Collect and analyse historical data, choose appropriate model design/methodology, derive model parameters
Effectively communicate and document model approaches, assumptions, model inputs used and modelling processes
Develop a systematic approach for challenging the expert judgments that are used in the models. Work closely with all business lines. For those business lines with their own quantitative models, engage in a comparative analysis of their relative merits.
Support other stress testing staff by providing results of the models, explaining the models, the results, and make required adjustments to inputs or outputs to ensure that scenarios are meaningful
Analyze the relationships between the stress test models results and the actual revenues
Work with the Model Validation team to assure timely and satisfactory validation
Respond to inquiries from regulators, Audit and executive management about modelling results and techniques and any limitations or assumptions embedded in the models
Execute and enhance the production run for stress testing exercise
Develop and maintain the technology platform for data visualization and enhanced review process.
What we’re looking for?
Advanced degree in Economics, Finance, Statistics, Mathematics, Engineering or other related quantitative discipline. Some knowledge of accounting preferred. Excellent statistical skills, some experience within risk management, preferably in a model development role
Proficiency in Python, R or related programming languages and platforms
Advanced quantitative modeling skills (e.g., advanced statistical models, econometric models)
Designation such as FRM, PRM or CFA are desirable
The types of results produced by the models will cover a broad range of measures used in the Bank, such as capital, PCL and liquidity. Therefore the position requires a high degree of adaptability and the ability to learn new concepts quickly
Strong communication skills. The position requires an ability to efficiently interact and communicate with many stakeholders across of a variety of areas
Balanced judgment, leadership and team skills
Working knowledge of basic Linux or UNIX systems is desired. Experience with version control software (Git, SVN etc.) is an asset
Location(s): Canada : Ontario : Toronto Scotiabank is a leading bank in the Americas. Guided by our purpose: “for every future”, we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets. At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.