Senior Model Validation Specialist

  • 34286
  • Non-Life - Other
  • |
  • Quebec, Canada
  • |
  • Sep 24, 2018
  • |
  • Billingual (English & French)
Other
RESPONSIBILITIES
  • Performing validation of different models including pricing, actuarial, credit risk, economic capital and stress testing models to assess model fitness for purpose and performance.
  • Designing and implementing statistical tests to assess model sensitivity, robustness, and performance.
  • Assessing model soundness and risk in both approach and usage.
  • Monitoring model performance to ensure ongoing quality, and proactively identify opportunities to improve existing models and analytical tools.
  • Drafting comprehensive validation report and discussing model issues with different stakeholders.
  • Developing solutions using substantial creativity, resourcefulness, innovation, negotiation and diplomacy.
  • Making sound and balanced decisions on complex issues and providing expertise to ensure the Corporation is not at undue risk.
  • Leading some validation projects involving internal validators or external consultants.
  • Leading and coordinating multi-disciplinary project teams whose members may include model users, internal modelling experts, external modelling experts and other stakeholders.
  • Helping improve model validation procedures and model risk governance to reflect industry best practices.
  • Planning and coordinating work plans to ensure model reviews are completed as planned.
  • Providing support to the model governance team to comply with model risk policy guidelines and internal policies.
QUALIFICATIONS
  • Postgraduate degree in Quantitative Finance, Mathematics, Statistics, Computer Science, Actuarial Science, Finance, Economics or other quantitative field OR an equivalent combination of education and experience.
  • Minimum of five years of relevant experience in modelling/validation or quantitative analytics at a bank, insurance company, asset manager or other types of financial institution.
  • Extensive hands-on experience developing/validating and implementing quantitative models for measuring, analyzing and managing financial and insurance risks.
  • Demonstrated experience with actuarial, statistical and econometric models.
  • Demonstrated knowledge and experience with various quantitative software such as SAS, R, Python, Igloo, VBA, etc.
  • Advanced theoretical and specialized knowledge of a broad range of quantitative models used within a financial institution.
  • Knowledge of mortgage loan insurance and securitization activities.
  • Knowledge of OSFI capital rules and risk management standards and IAIS capital standards.
  • Knowledge of risk approaches to capital models and experience in their applications.
  • Demonstrated experience in writing technical modelling or validation reports.
  • In-depth ability to write reports to convey information that is subject to interpretation.
  • Ability to persuade, influence, and/or negotiate with colleagues, clients and senior management.
  • Ability to research issues, analyze problems, synthesize information and make recommendations.
  • Assets: Professional designation.
  • Demonstrated experience with mortgage insurance, retail lending, scorecard development, economic capital, and stress testing.
  • Bilingual.