Canadian Western Bank
At CWB, we strive to build value for the people who choose us every day: our people, our clients and our investors. We do this by holding true to the values that guide us. We put people first and build relationships with intention. We seek out and embrace new ideas, knowing that better is always possible. We believe that how we do things is as important as what we do. And we harness the power of inclusion. Our culture is who we are and how we show up - as individuals and as a team - to accomplish our strategy.
At CWB, we take model risk seriously!
Model Vetting Team, as a highly independent unit, identifies, estimates, monitors and manages CWB’s model risk through the enterprise-wide model risk management framework.
Our job makes sure that risk models have been developed with best market practices and are performing well at the purposes they have been designed for.
As the Manager, Model Vetting, make an impact by conducting backtesting/vetting of a variety of models being developed at the bank, including A-IRB, IFRS-9, Treasury and Finance models etc. This manager role will also support the development of the Model Vetting Team and an enterprise-wide model risk management framework, and contribute to the model governance process.
- Prepare data for model backtesting purpose
- Conduct assigned backtestings of A-IRB models to assess performance and the need for recalibration of model parameters, by following established backtesting criteria
- Monitor the performance of the models, update regularly project status to senior leaders, provide suggestions on model requirements
- Improve the existing backtesting procedure and automate the periodic backtesting process
- Independently conduct model vetting activities and produce vetting reports. Assess model risk rating, effectively challenge the model conceptual soundness, assumptions and appropriateness of model methodology, identify model deficiencies/weaknesses, check the development process, and issue conditions for model use and one-time requirements
- Ensure effective two-way communication with the Model Owners/Developers/Users. Communicate model risk issues and suggestions during the vetting process
- Ensure key information such as model review dates, conditions, and requirements are identified and agreed with the model owners. Follow up with model owners on outstanding issues
- Provide regular project status updates to the senior management team for tracking and monitoring vetting projects
Model Vetting Documentation and Data Analysis
- Draft Model Vetting and Model Backtesting reports
- Assist in improving the current Model Vetting and Model Backtesting process and criteria
- Make sure the Model Development Documentation comply with CWB Model Documentation guidelines
- Conduct data analysis assigned by senior leaders
- Master’s degree in a related field with strong quantitative background
- Master’s degree or Ph.D. in Economics, Statistics, Math Finance or Finance; or an equivalent combination of education and work related experience
- FRM qualification or exams will be considered as an asset
- 2-3 years experience in quantitative modeling
- Hands-on experience of data manipulation and analysis
- Hands-on experience of quantitative/statistical model development
- General knowledge of the banking industry
- Statistical and Econometric research experience, for example, logistic regression, regression analysis, time series modeling, operations research, and scenario based simulations
- Project management
- Position paper and report writing
- Presentation experience in academic or industrial conferences/meetings
- Knowledge of risk management practices are assets
- Strong programming skills (e.g. SAS, R, C++, Matlab, VBA, etc.)
- Ability to work independently with limited guidance and as part of cross-functional teams
- Developed project management skills
- Strong verbal and written communication skills
- Developed relationship management skills
- Capacity to cope with a high degree of ambiguity and change
As an equitable employer, CWB Financial Group is committed to providing a safe and inclusive environment where a diverse workforce thrives. You are welcomed and encouraged to bring your whole self to work. Dignity, respect and equality are non-negotiables. If you require accommodation during any part of the recruitment or selection process, please reach out.
* Position closes at 12:01am on the close date identified below.
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