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TDBG Retail Model Development (RMD) is responsible for measuring credit risk in all TDBG retail credit product portfolios (such as mortgages, home equity, indirect auto loans, credit cards, and small business loans).
This entails developing, implementing, and monitoring account-level retail credit risk rating and parameter models (PD, EAD, and LGD). The risk ratings and parameters are used in estimating and reporting the Risk-Weighted Assets (RWA) as required under the Basel II Retail Advanced Internal-Ratings Based (AIRB) approach, the minimum regulatory capital and economic capital that the Bank needs to allocate against the credit risk in its retail product portfolios; estimating allowance for expected credit losses for performing and impaired assets under IFRS9 rules; and forecasting credit losses, RWA and capital requirements under expected economic conditions and under various macroeconomic stress scenarios. Our expected loss models are designed to ensure that the Bank has appropriate provisions for expected losses and sufficient capital reserves for unexpected credit losses in its Canadian retail portfolios.
In this position, the individual will be responsible for the development, initial validation and documentation of account-level credit risk parameter models (PD, EAD, and LGD) for the retail credit product portfolios, as well as supporting all stages of model validation, audit and implementation.
These predictive models will serve as the basis for establishing default, exposure and loss related parameter estimates for use in calculating risk weighted assets (RWA) for retail credit exposures under the Basel II AIRB approach. They are also used to calculate allowance (IFRS9) for various retail businesses. It also serves the calculation of economic capital, and risk-adjusted profitability, as well as evaluating Bank's risk profile under various macroeconomic scenarios included in the Bank's internal and regulatory stress tests.
This will entail extensive and deep interactions with TDBG Model Validation and Model Risk Management, Retail Risk Management, Internal Audit, and external auditors, as well as with the Bank's banking regulators, in order to support their review, approval process and ongoing validation for the risk parameter models. The position will ensure compliance with the TDBG Model Risk Policy, Capital Model Approval Policy, Data Governance requirements, and with other relevant policies and regulatory requirements. The position will work closely with and actively support TD Retail Risk Management, as well as retail credit product and finance areas by providing a deep analysis of credit risk drivers and parameters under various scenarios for the respective product portfolios. This will entail discussing with the retail credit product, finance, and risk management areas key observations and conclusions derived from the data analysis and modeling, and assisting in their use to manage product portfolio risk and profitability.
In this position, the individual will use leading-edge technologies and develop innovative solutions in the following areas:
Data mining - making sense of some very large databases of credit risk related historical data;
Predictive credit risk modelling based on rigorous statistical analysis of historical data, regression techniques, and econometric analysis;
Estimating credit risk imbedded in the Bank's retail credit product portfolios, and the amount of regulatory and economic capital the Bank needs to allocate against these portfolios.
This position provides excellent learning, working and career opportunities in a highly professional and motivated team environment, and exposure to a variety of high-paced and intensive modeling projects and to a variety of internal and external stakeholders.
This position requires a combination of dedication, extremely hard work, and attention to detail, on one hand, and quick learning, creativity, and non-standard thinking, on the other hand. It also requires strong team and project management, communication, and presentation skills.
In terms of technical skills and experience, this position requires a strong mathematical, statistical, and computer science background and an extensive data mining and statistical modelling experience.
An ideal candidate will have good retail credit risk management experience, including modeling and analytics; deep understanding of retail credit products and strategies; retail credit risk data, analytics, and modeling experience; and deep knowledge of Basel II requirements, including hands-on experience in developing and implementing Basel II Retail AIRB models.
A successful candidate is expected to have:
A university degree in Statistics or in a related quantitative discipline (Mathematics, Actuarial Science, Computer Science, Econometrics, Operations Research);
Strong working knowledge and hands-on experience using SAS and SQL in the context of data manipulation, data mining, statistical analysis, and predictive modelling;
Proficiency in creating and manipulating large data sets for data mining and predictive statistical modelling;
Working knowledge of concepts and methodologies, such as retail credit risk scoring techniques, used in the assessment of credit risk for retail credit exposures
Strong working knowledge of modern statistical model development and validation concepts and techniques, in particular linear and logistic regression techniques;
Strong project management skills and able to prioritize and manage workload to deliver quality results and meet assigned timelines;
Support a positive work environment that promotes service to the business, quality and team work and ensure timely and effective communication;
Strong problem-solving skills, ability to independently identify and solve problems in an effective and timely manner;
Strong communication skills (both written and oral) to establish effective relationships across multiple business stakeholders.
At TD, we are committed to fostering an inclusive, accessible environment, where all employees and customers feel valued, respected and supported. We are dedicated to building a workforce that reflects the diversity of our customers and communities in which we live and serve. If you require an accommodation for the recruitment/interview process (including alternate formats of materials, or accessible meeting rooms or other accommodation), please let us know and we will work with you to meet your needs.