Senior Specialist, Modelling

  • 37172
  • Non-Life - Other
  • |
  • Ontario, Canada
  • |
  • Apr 8, 2020
  • Performing model development for credit risk, economic capital and stress testing models in response to requirements from business users.
  • Liaising with model stakeholders to ensure the model is fit for its business purpose, and model issues are addressed in a timely manner.
  • Designing and implementing statistical tests to assess model sensitivity, robustness, and (ongoing) performance.
  • Drafting comprehensive model documentation throughout the model life cycle.
  • Working with model validation to ensure successful validation outcomes for both initial and ongoing model validations.
  • Monitoring model performance to ensure ongoing quality, and proactively identifying opportunities to improve existing models and analytical tools.
  • 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 model development projects involving internal contributors or external consultants.
  • Leading and coordinating multi-disciplinary project teams whose members may include model users, internal modeling experts, external modeling experts and other stakeholders.
  • Providing support to the model governance team to comply with model risk guidelines and internal policies.
  • Postgraduate degree (Masters or PhD) in Quantitative Finance, Mathematics, Statistics, Computer Science, Actuarial Science, Finance, Economics
  • Minimum of five years of experience in modeling/validation or quantitative analytics in the banking and/or insurance industry, 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, risk management standards, and IAIS capital standards.
  • Knowledge of risk approaches to capital models and experience in their applications.
  • Demonstrated experience in writing technical modeling 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.