Senior Specialist, Modelling

  • 34440
  • Life - Other
  • |
  • Ontario, Canada
  • |
  • Dec 7, 2018
Other
RESPONSIBILITIES
  • Providing deep and specialized expertise to develop the company’s Enterprise Models including but not limited to suite of risk, capital and stress testing models.
  • Proposing and developing new models in the areas of retail, credit, market, operational and liquidity risk and capital requirements estimation.
  • Ensuring appropriate documentation and maintenance for all models.
  • Directing and overseeing the output of a team of modelers, programmers and analysts.
  • Ensuring that model outputs are provided in a timely manner to meet corporate financial reporting requirements.
  • Responding to ad-hoc modelling requests from internal and external stakeholders such as Management Committee members, Board members or OSFI or Department of Finance by developing accurate results, and using strong communication skills to promote understanding of the issue and provide appropriate interpretation and context.
  • Maintaining current knowledge on best practices and recent developments in relevant quantitative approaches and techniques through training and professional development activities.
  • Maintaining current knowledge of regulatory requirements in the areas of risk measurement and internal capital modelling.
  • Deliver training to management on Class A models, in order to fulfil ERM policy requirements relating to executive-level understanding of risk models.
QUALIFICATIONS
  • Master’s degree in a quantitative discipline such as Quantitative Finance, Finance, Mathematics, Economics, Statistics, Actuarial Sciences, or Physics with a minimum of three years of relevant work experience; or an equivalent combination of related education and experience may also be accepted.
  • A PhD is considered an asset.
  • Demonstrated work experience in in a similar role in financial industry including banks, insurance companies, pension and endowment funds and etc.
  • Associate or Fellow of the Canadian Institute of Actuaries, Casualty Actuarial Society, Society of Actuaries.
  • Designations from PRMIA, GARP, CFA, CAIA, or other comparable certifications.
  • Understanding of and demonstrated experience with mathematical finance methodologies, pricing and valuing derivative constructs, deep understanding financial aspects of credit methodologies, securitization process and risk analysis.
  • Advanced proficiency in programming with at least one of the programming languages: R, Python, SAS, C++, Matlab.
  • Ability to work independently with minimal supervision on technical aspects requiring independent research and implementation stages.
  • Strong communication, presentation, and collaboration skills at all levels of the organization. Good personal, interpersonal skills and ability to contribute in a team working environment.
  • Results oriented, accountable for performance, and taking complete ownership of projects.
  • Knowledge of the company's business, mandate and objectives.