Senior Consultant - Credit Risk Modelling

Location:

Toronto

Other locations:
Primary Location Only

At EY, we’re all in to shape your future with confidence.

We’ll help you succeed in a globally connected powerhouse of diverse teams and take your career wherever you want it to go.

Join EY and help to build a better working world.

EY’s Financial Services Risk Management (FSRM) practice is an advisory unit that provides risk management support to banks, insurance companies and asset managers. Our team includes individuals who have a combination of qualitative, quantitative, regulatory and programming skills. We are seeking a Senior Consultant with modelling experience acquired in the banking industry or in consulting services to join our team. This position is available either in Toronto or Montreal, in latter case they must be able to work in English and French.

As aSenior

Consultant in the FSRMteam, you will beleading or supporting EY services in the market through business development,engagementplanningand high-qualityengagementexecution.

Leveraging your strong technical expertise, you will offer professional advice to clients across a broad spectrum of situations.

You will be working onengagementsrelating to:

• Development and validation of credit risk models (e.g.AIRB, IFRS 9,stress testing) based on industry best practices and regulatory requirements
• Design, optimization and implementation ofcapitalmanagementframeworks and lending strategies(ICAAP, risk appetite limits, lending processes)
• Participate inrisktransformation programs related to regulatory changesormerger-acquisitions(climate risk frameworks,OSFI applications,resolution of regulatory findings)

Youwill betaking part in EY educational programs to continuously develop skillsanddeveloping andmaintainingproductive relationships with clients.

• Practical experience in modeling techniques applicable tocredit risk models such as PD, LGD, EAD or ECL models
• Strong quantitative skills in dataanalyticsand modelling incl. artificial intelligence and machine learning techniques
• Good knowledge of the banking industry andtheir risk management regulatory framework
• Strong communication, presentation, and technical writing skills to describe ideas, concepts and issues that involve interpretation, analysis, and assessment of complex conceptual topicsand proficiency in the use of PowerPoint, Word and Excel
• Willingness to work in teamboth virtually and onsite, and ability to travel across Canada to meet with clients (rare)

• Minimum 2years of relevant experience within a credit risk model develop mentor model validation team at a major financial institutionor in aconsultingfirm
• Strong academic background with aMaster’sdegree inquantitativefieldsuch as Finance, Economics,Mathematics, Statistics or Engineering(equivalent education and/or experience may also be considered)
• Significantexperienceand proven ability to program in pertinent languages, such as Excel, SAS, SQL, R, and Python.
• Knowledge of credit risk regulatory requirements (Basel II, BaselIIIandpost-crisis regulatory reforms) and accounting standards (IFRS
  9)
• Knowledge or experience of credit risk modelsand methodologies: measurement methodologies (PD,LGDand EAD), retail credit risk scorecards and wholesale rating models

• Consulting, stress testing, or regulatory experience, or accounting/control function experience
• Experience in a capital management (ICAAP,regulatory capital, economic capital, etc.)is considered an asset
• Self starting attitude, an ability to think out of the box andbedriven by new challenges

Ifyou’rea natural leader with a talent for answering and communicating complex client problems,we’reinterested in you.

You’llneed to be great at influencing people, ready to listen and confident in challenging the status quo. If you have a genuine passion for helping businesses address their most pressing problems, this role is for you.

When you thrive, we thrive. The EY benefits package goes above and beyond, focusing on your physical, emotional, financial and social well-being:

• $5,000 per year for mental health support…