Credit Risk Model Validation Analyst

Title:

Credit Risk Model Validation

Location:

Downtown Montreal

Employment:
Full time Hybrid

• Conduct independent quantitative reviews of the Credit Risk Models, Scoring Models, IRB, Stress Testing and ICAAP
• Review and assess other models that may affect any of the credit risk decision cycle making process including ESG related models
• Provide challenge of conceptual soundness, reasonableness of model output, implementation and any other relevant modelling aspects impacting fit-for-use
• Work with validation managers to develop an appropriate validation plan to provide effective challenge commensurate with the level of model risk
• Assess ongoing model performance

• Graduate degree in a quantitative field (e.g., Finance, Economics, Statistics)
• Minimum 5 years of experience validating or developing Credit risk models
• Sound knowledge of quantitative and statistical concepts (time series analysis, statistical inference and probability, clustering, etc.)
• Programming experience in statistical or mathematical languages such as SAS, R, Python
• Experience in producing high quality written technical documentation
• Good communication and synthesis skills in addition to critical thinking capabilities and passion for learning
• Knowledge of the regulatory requirements (such as Basel, IFRS9, etc.)
• Experience in interacting with regulatory bodies through participation in on-site inspection missions
• Knowledge of AI or machine learning techniques
• English is mandatory - French is preferable