Model Validation Associate/Advisor/Senior Advisor

  • 38265
  • Life - Other
  • |
  • Ontario, Canada
  • |
  • Sep 25, 2020
  • |
  • Billingual (English & French)
Other
RESPONSIBILITIES
  • Develops understanding of the business, the business area and function that uses the Model, and the impact of the Model output on the business decisions.
  • Manages stakeholder relationships to ensure Model Validation findings and recommendations are appropriately informed by business purpose and context following a risk-based approach.
  • Ensures Model Validation activities are in compliance with the Model Risk Policy, standards and guidelines.
  • Oversees, conducts or advises on Model Validation activities as required.
  • Ensures that Model stakeholders are aware of Model Risk Issues and Limitations identified during Model Validation.
  • Prepares Model Validation reports that details the validation scope, testing approach, test results, findings and conclusions.
  • Ensures that Model stakeholders are compliant with the Model Controls.
  • Engages Model Owners and Users to pro-actively identify, assess, monitor and manage Model Risk.
  • Acts as a corporate resource in the interpretation and classification of quantitative and qualitative factors in assessing Model Risk.
  • For a Senior Advisor role, in addition to the above responsibilities:
  • Takes a lead role in the responsibilities listed above and performs them at an advanced/expert level.
  • Provides oversight and coaching to more junior employees.
  • Be expected to independently manage non-standard requests that come to the team.
  • Provides support to the Director to inform decision-making.
  • Influences the achievement of objectives.
  • Interprets internal/external business challenges and recommends best practices to improve model risk management practices and processes following a risk-based approach.
QUALIFICATIONS
  • Undergraduate degree in Statistics, Actuarial Sciences, Mathematics, Computer Science, Finance within a quantitative discipline or related.
  • Minimum of 2 years, 5 years or 7 years of experience in quantitative risk management.
  • Expert knowledge of, and/or broad experience in at least one of the domains.
  • Insurance pricing and reserving.
  • PD, LGD and scoring models.
  • Expected Credit Losses models.
  • Econometrics and economic forecasting.
  • Asset and portfolio management modeling.
  • Reserving, profitability, capital, forecasting, and stress testing.
  • Data mining, predictive modelling, and/or machine learning algorithms.
  • Expert knowledge of model risk management principles and practices.
  • Strong foundation in applied probabilistic modeling, time series analysis and statistical analysis.
  • Strong knowledge of programing languages and databases.
  • Assets:
  • Bilingual in both official languages.
  • Professional designations such as Fellow of the Actuarial Society, Financial/Professional Risk Manager, Accounting designations.
  • A graduate degree in a quantitative discipline.
  • Credit risk management and model validation experience, preferably in a financial services and/or Crown corporation environment.
  • Knowledge or experience in modeling practices related to IFRS 9 and/or IFRS 17 regulations.