Manager, Independent Review, Credit Risk

Full Time March 18, 2022 Science, Technology, Engineering and Mathematics

Job Overview

Job title: Manager, Independent Review, Credit Risk

Job description: Address: 100 King Street West

Job Family Group: Audit, Risk & Compliance

Mandate

The role of Manager, Independent Review (IR), Credit Risk is a part of the Independent Review function within Model Risk, Enterprise Risk, responsible for providing effective challenge of compliance and/or assessing compliance of Pillar I Advanced Internal Rating Based (AIRB) Approach Retail and Wholesale Capital Models with regulatory requirements, as set out by the Office of the Superintendent of Financial Institutions Canada (OSFI) and Model Risk Lifecycle Execution Testing (LET) controls.

Knowledge and Skills

a) Knowledge

Graduate/undergraduate degree in related discipline: business, finance, accounting, economics, mathematics/statistics
5 years risk management experience at a financial institution, in credit risk management, internal audit or regulatory compliance
Knowledge of Retail and Wholesale Credit Risk Models
Knowledge of Pillar I AIRB Approach, OSFI’s Capital Adequacy Requirements (CAR) Guideline and related Implementation Notes
Knowledge of banking products and their risk characteristics, including Retail and Wholesale Credit Risk products
Knowledge of Model Risk Lifecycle testing and controls
Knowledge of Corporate Audit processes

b) Skills

Strong quantitative skills
Excellent analytical skills and attention to detail and accuracy

Excellent communication skills both written and verbal
Excellent time management skills

Key Accountabilities

A. Conduct Independent Review of Pillar I AIRB Approach for Credit Risk Capital Models (75%)

For Credit Risk Retail and Wholesale AIRB Capital Models, provide effective challenge of regulatory compliance and/or assess regulatory compliance with OSFI’s CAR Guideline and related Implementation Notes through the Model Risk Lifecycle, including both New Models and Model Modifications.

Participate in the Enterprise Self-Assessment Process (SAP) for compliance with OSFI requirements.

Complete reviews of Capital Models, including Materiality Assessments (Quantitative and Qualitative) and Integration Operations and Controls (IOC) as set out in the OSFI A-2 Implementation Note Capital Model Assessment Program (CMAP).

Review submissions to the Basel Issue Completion Forum (BICF).

Perform LET, which is part of the Monitoring & Testing Program, Enterprise Compliance, for Credit Risk Retail and Wholesale Capital Models to assess compliance with the predefined controls for the Model Risk Management Framework (MRMF).

Complete and document assigned reviews in accordance with established operating procedures on an annual basis or within timelines required.

Form a view of the status of compliance for Capital Models; identify Findings (gaps to full compliance) and Recommendations (areas for improvement), as well as completion of impact assessments.

Ensure accurate and regular reporting within appropriate issues management systems.

Prepare comprehensive and professionally written results which include Findings and Recommendations for stakeholder and executive audiences.

Maintain effective challenge and compliance assessment supporting documentation in auditable form.

Under the guidance of the Senior Manager and/or Director, undertake other activities, as required.

B. Relationship Management (20%):

Interact on a cross-functional basis with 1st, 2nd, and 3rd line stakeholders, while maintaining independence -.

C. Change and Innovation (5%):

Provide recommendations to support continuous improvement of the Independent Review process to increase the efficiency and to support Lines of Business revenue-generation activities consistent with Ambition 2025.

Authorities

To deliver on these accountabilities, the role has the following authorities:

Determination of compliance with regulatory requirements and execution controls
Identification of Findings (gaps to full compliance) and Recommendations (areas for improvement)
Preparation of reports for approval of the Senior Manager or Director, Independent Review.

Scope and Impact

For Pillar 1 AIRB Capital Models – This role has a direct impact on the Bank’s compliance with regulatory requirements in accordance with OSFI’s CAR Guideline and related Implementation Notes, as well as compliance with the MRMF LET controls

Cross Functional Relationships

This role requires interaction with the following groups in BMOFG:

Other roles within Model Risk:

Model Validation (MV)
Model Governance (MG)
Model Risk Operations (MRO)

Other roles within ER including:

Risk Capital & Model Development (RCMD)
Risk Frameworks & Regulatory Capital Oversight (RFRCO)

Corporate Audit Division

Working Conditions

Working conditions are standard for return to office environment. There may be periods of moderate to high levels of stress. Role requires the ability to deliver on tight deadlines and interact on a cross functional basis with other groups while also operating independently