Hourly Credit Risk Modeling Jobs in Toronto, ON (NOW HIRING)

As a Senior Analyst in the Credit Risk Analytics team at National Bank, you’ll be responsible for the IFRS-9 reporting and analytics, as well as IFRS-9 and stress testing model development and performance monitoring. 

This role will also need to support other closely related risk functions that includes RWA, Economic Capital and stress testing. With your strong analytical skills, experience in credit risk modeling, and knowledge of IFRS-9 and regulatory requirements, you’ll have a positive impact on NBC’s credit risk management through building advanced models, efficient and robust risk processes and providing insightful analyses to our senior management.

Your job:

• Develop and recalibrate IFRS-9 and stress testing models for the Bank’s wholesale and retail portfolios. Document the data selection, modeling techniques and implementation.
• Conduct model backtesting, monitor model performance and propose appropriate model actions when necessary.
• Keep abreast of up-to-date modeling methodologies, tools and regulatory requirements.
• Conduct IFRS-9 ECL impact assessment for parameter recalibration, economic scenario change, model updates, data migration and process changes.
• Operate and maintain the IFRS-9 ECL reporting processes to produce timely and accurate ECL results.
• Validate the process inputs and outputs for quality control and governance.
• Provide in-depth analysis on IFRS-9 results and identify key drivers for ECL movements.
• Prepare IFRS-9 ECL results, analysis and materials for IFRS-9 stakeholders, External Audit and regulators.
• Review, identify and recommend process improvement opportunities for IFRS-9 ECL calculation engine.
• Develop, manage and monitor IFRS-9 PCL budget and limit for the bank.
• Collaborate with IFRS-9 stakeholders, including Economics, Finance, IT, Credit Risk Models, Model Validation Group, and Internal Audit.
• Provide support for ad-hoc requests required by IFRS-9 stakeholders and senior management in a precise and efficient manner.
• Develop and maintain the IFRS-9 related documentation. Review and evaluate the technical implementation and results.
• Contribute to strategic risk initiatives by using analytical skills to project potential losses and make recommendations to limit risk.
• Demonstrate insight into internal client's business and develop innovative solutions that create value.

Your Team: 

As part of the Credit Risk Analytics sector, you’ll be on a team of 25 of colleagues and you’ll report to the Senior Directeur. Our team stands out for expertise in model development, model implementation and risk reporting in IFRS-9, stress testing and capital areas. As some processes are part of the Bank’s month-end or quarter-end reporting to the public or to the regulators, we may work under tight deadline and pressure sometimes. We offer a wide range of ongoing learning opportunities for your development, including coaching, hands-on learning, training courses and through the collaborating with colleagues who have varied expertise and profiles such as in-depth data analytics, model development, risk programming and presentation to senior management.

 Prerequisites:

• Masters in a relevant field such as Financial Engineering, Finance, Statistics, Economics, Mathematics, Computer Science and Data Science.
• Completion or progression in CFA and/or FRM would be an asset.
• Completion of SAS certification would be an asset.
• Professional experience in quantitative model development.
• Hands-on experience in managing, reconciling, and interpreting large and complex enterprise level data sets.
• Knowledge with IFRS-9 and regulatory requirements.
• Hands-on experience with SAS, SQL, MS Excel (VBA) or Python.
• Knowledge of AI and Machine Learning would be an asset.
• Excellent analytical skills to identify the causes of risk changes and impact to business and strategy.
• Ability to effectively communicate the analysis and explain the results in a simple and concise way.
• Strong attention to details and the ability to understand the big picture.
• Demonstrated ability to work under pressure and tight deadline.
• Exceptional critical thinking skills, learning skills and ability to work independently with limited guidance.