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Code Development Contractor - 2024-31
Edmonton, ABProject Description:
The Stress Testing Group (STG) actively participates in the identification and assessment of enterprise-wide stress risks and capital adequacy by conducting stress and sensitivity testing. The team identifies risks that may negatively affect the company and its clients and determines the potential impacts of such risks and the effectiveness of risk mitigation strategies.
STG runs a pro-forma financial statement model that is driven by a set of macro economic factors, along with an exogenous assumptions file. The output allows for a consistent analysis
Job Description:
The successful candidate will be responsible for creating the following improvements:
The Stress Testing Group (STG) actively participates in the identification and assessment of enterprise-wide stress risks and capital adequacy by conducting stress and sensitivity testing. The team identifies risks that may negatively affect the company and its clients and determines the potential impacts of such risks and the effectiveness of risk mitigation strategies.
STG runs a pro-forma financial statement model that is driven by a set of macro economic factors, along with an exogenous assumptions file. The output allows for a consistent analysis
Job Description:
The successful candidate will be responsible for creating the following improvements:
- Goal Seek Algorithm: A key use case for the model is to be able to compare and contrast outputs relative to a baseline. The baseline itself, however, is the result of multiple models and consultations. Given a baseline economic outlook, however, a set of adjustment factors can be applied to the modeled output from the economic variables to generate the targeted baseline. Now the assumptions file can be held constant and the economic outlook varied to generate conditional comparisons. The current issue is that the baseline assumptions file is manually estimated, which can be time consuming. A goal seek algorithm could cycle through and do this more efficiently (i.e. target the exogenous output and solve for the set of add-factors that needs to be applied to the conditional baseline output).
- Endogenize Recovery Rates: Provisions are estimated using default probabilities and recovery rates. The model currently uses a conditional transition matrix to move the loan book between periods and assign default probabilities. In other words this is endogenous to the model, conditional on the economic outlook. The recovery rates used are also conditional but they are exogenously provided to the model - i.e. a portfolio recovery rate is supplied for the different periods. To improve the process, the recovery rate should be derived from the model rather than needing to be supplied exogenously.
- Create a Challenger Approach for the Non-fdd Interest Expense Model: Our interest expenditure forecast sometimes varies from our expectations. A large part of this variance comes from the non-fdd interest expenditure forecast, which we would like to improve. The project will involve the development of a challenger approach for the interest expense component of the non-fdd model.
- Documentation: Maintain clear and comprehensive documentation of all code changes and model enhancements.
- Collaboration: Work collaboratively to ensure seamless integration of your work into the broader risk management framework.