Manager Quantitative Analytics

  • 34671
  • Non-Life - Data Science
  • |
  • Ontario, Canada
  • |
  • Feb 1, 2019
  • Perform validation of all models deemed in-scope by the bank-wide Model Risk Policy.
  • Develop independent benchmarks for use in the validation of the models. These benchmark models could be supervised learning, unsupervised learning and deep learning algorithms. Assess the appropriateness of the model for its specific use, reasonableness of the model assumptions and the accuracy of the model implementation.
  • Prepare detailed reports describing the mathematical analytics of the model, validation techniques employed, test results obtained, and any model limitations noted.
  • Prepare Management summaries highlighting the outcome of the validation process for each model and outlining recommendations for approval or further improvements.
  • Establish and maintain productive working relations with internal model development groups such as Retail Risk Management, Retail Credit Risk Analytics, and Auto Financing, as well as external vendors who have developed customized models.
  • Play a key role in ensuring the appropriate use of risk models. Identify the need to implement new models/techniques for risk management as industry standards evolve and regulatory requirements change.
  • Stay current in knowledge of credit risk management methodologies, predictive modeling and statistical analysis.
  • Strong statistical background and excellent analytical and problem solving skills with a graduate degree in one or more of the following areas: statistics, economics, finance, mathematics, computer science and engineering.
  • Experience with predictive model development and/or statistical scorecard modeling.
  • Hands-on experience with SAS and/or other sophisticated statistical model development tools is a must.
  • Knowledge in retail banking products, customer behaviors, and credit adjudication systems is a definite asset.
  • Excellent verbal and written communication skills.
  • Good time management and multitasking skills.
  • Quick learner who grasps new concepts and techniques quickly.
  • Must be a good team player.