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Department Overview
TDBG Canadian Retail Model Development (RMD) is responsible for the development of expected loss models, which is measuring credit risk in all TDBG retail credit products; and retail scoring models (i.e. scorecard models). These models cover the whole credit life cycle of the customer with the bank.
For expected loss models, it entails developing, implementing, and monitoring account-level retail credit risk rating, and parameter models (PD, EAD, and LGD); using these risk ratings and parameters to estimate and report the Risk-Weighted Assets (RWA) as required under the Basel II Retail Advanced Internal-Ratings Based (AIRB) approach, and the minimum regulatory capital and economic capital that the Bank needs to allocate against the credit risk in its retail product portfolios; and estimating allowance for expected credit losses for performing and impaired assets.
For scorecard models, which are used extensively within Retail Risk Management strategies, including credit adjudication, account management, early stage and late stage collection strategies, it entails developing, implementing and monitoring account level scorecard models as well as analytical tools (prototyping as necessary) for retail credit products by leveraging state of arts predictive/analytical methodologies, such as machine learning (ML) algorithms.
Job Requirements
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 ability to work as a team, project management, communication, and presentation skills.
In terms of technical skills and experience, this position requires sound mathematical, statistical, computer science and computational mathematics background.
A successful candidate is expected to have:
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