Location: WFH, Toronto
Contract Duration: 1 Year
Purpose of Job:
The contractor is responsible for developing and implementing quantification methodologies for credit risk parameters, which are key drivers to the risk rating system, internal processes and regulatory processes.
Key Job Accountabilities:
• Develop, implement and maintain risk quantification methodologies for non-retail credit risk parameters such as PD, LGD and UGD.
• Perform research and analysis of applicable methodologies; present and recommend appropriate alternatives; implement estimation methodologies.
• Benchmark internal estimates with external models and/or data sources; provide analysis and recommend actions as appropriate.
• Implement and maintain a rigorous framework of internal controls and comprehensive documentation for various applications and databases used in parameter estimation.
• Communicate results of analyses through documentation to internal/external audiences, and effectively manage the interface with relevant parties such as Validation, Audit, and Regulators.
• Keep abreast with advances in credit risk analytics developments, products, and applications by vendors, consultants, regulatory agencies and competitors. Recommend/develop enhancements appropriate for the Bank.
Must have Skills:
1. Excellent computing development skills, particularly statistical and database modeling tools (i.e., SQL, Python, SAS, R, Access/VBA, etc.); well-developed ability to adapt to various programming languages and environments.
2. 1 year of hands-on experience in quantitative analysis and machine learning; exposure to quantitative analysis related to credit risk management and modeling is preferred.
3. In-depth understanding of statistical techniques and procedures related to analysis of various distributions, regression modeling, monte-carlo simulation and bootstrapping techniques.
4. Well-developed writing and presentation skills, including competence in comprehensively and concisely reporting and presenting the results of complex analyses.
5. Ability to efficiently manage multiple priorities to ensure timely delivery.
6. Attention to details, independence, and ability to effectively collaborate in teamwork.
7. Flexibility and creativity in problem solving.
Nice to Have:
1 + years of experience in hands-on quantitative/statistical analysis, preferably related to the non-retail credit risk area in a major financial institution.
Education and Other Requirements:
• A graduate degree (or equivalent) in Statistics, Computer Science or comparable quantitative discipline that includes rigorous exposure to statistical knowledge and techniques.