AVP Credit Risk Modelling

Peoples Group is a boutique Financial Institution with offices located in Vancouver, Calgary, Toronto, and Montreal that has been in the Canadian marketplace for over 35 years. Our mission is to exceed our customers' expectations by providing exceptional customer service backed by extensive product knowledge and experience.

Our culture here at Peoples Group is formed by our values; Strength-Based, Relationship Focused, and Passionate Execution. We believe people don't choose a company to work for, they choose a company to join. We also believe that people come first and each day we strive to be willing, trustworthy, and creative.

About the work environment:

Peoples Group offers a flexible and hybrid work environment. In this role you will work a combination of in-office and remotely from home. Typically, you'll be working regular business hours, Monday to Friday between 8:00am and 4:30pm with flexibility around start & end times.

We are hiring for this position out of our Toronto or Vancouver office. Successful candidates who apply outside of these areas will be expected to relocate and reside in a location that is within a commutable distance.

About you:

Reporting to the Senior Vice President of Financial Risk, you will play a critical second-line role, working closely with Credit Risk Management and Finance to set credit loss provisions for the loan portfolio in accordance with IFRS-9 requirements. You will own the quantitative methodologies for expected credit loss (ECL) and be accountable for running ECL results for the portfolio on at least a quarterly basis.

You will also be responsible for developing forecasted macroeconomic scenarios and the associated weightings needed for IFRS-9 ECL provisions, as well as for stress testing purposes. Additionally, you will have primary accountability for explaining changes in ECL results to the Chief Risk Officer (CRO) and Chief Financial Officer (CFO), along with the impact of stress scenarios on credit provisions.

This is an excellent opportunity for an experienced risk professional with strong modelling and data skills that would relish the challenge of developing an end-to-end ECL calculation and governance process for quarterly financial reporting and stress testing.

About the qualifications:

• 10+ years of experience working in quantitative risk management (including time spent in relevant academic research), with a primary focus on designing and implementing financial, credit, and macroeconomic models.
• Minimum Education / Qualifications: Master's degree in a quantitative discipline; CFA or FRM required.
• Extensive expertise in time series econometric modelling, with experience coding and calibrating ARIMA-X time series models and troubleshooting numerical calibration algorithms with time series data.
• Experience working with credit portfolio data at financial institutions and actively resolving data governance challenges across multiple departments.
• Advanced data governance skills with experience in managing large borrower/loan data sets from multiple source systems.
• Experience developing and implementing IFRS-9 time series models for FLI, resolving specification issues, and presenting results to executive audiences.
• Excellent time management skills with the ability to balance quarterly reporting requirements alongside complex multi-quarter projects like ICAAP.

About the day-to-day:

• Owner of ECL models and methodology, running them on a quarterly basis.
• Development of economic forecasts and inputs required by models.
• Development and documentation of stress scenarios.
• Preparing stressed ECL results for ICAAP.
• Manage governance and oversight process for forecasting and provisioning.
• Tracking of loan performance data across portfolios over time.
• Working closely with senior stakeholders in Credit Risk Management and Finance to set allowances for expected credit loss in financial reporting.
• Oversee development and maintenance of data sets required for Climate Risk reporting on the lending portfolio.
• Support in the development of credit risk-related strategies and ensure compliance with regulatory reporting requirements.

Compensation:

Peoples Group is pleased to offer employees a competitive annual salary plus a discretionary profit share opportunity. In addition, we are pleased to offer employees both group benefits and the option to participate in our RRSP matching program, beginning the first day of employment. Salary for this position will vary between $140,000 and $155,000 per year depending on the knowledge, skills, abilities and experience that the chosen candidate possesses. As part of our recruiting process, shortlisted candidates will be asked their salary expectations for this position.

Help us get to know you better by answering our application questions! Your participation is expected as an essential part of our selection process.

NOTE: This job posting is for an existing vacancy. Peoples Group is an Equal Employment Opportunity employer. Please accept our utmost appreciation for your interest; however, only those applicants under consideration will be contacted.