Sr. Credit Risk Modeler

Post Date

Feb 05, 2024

Location

Toronto,
Ontario

ZIP/Postal Code

M9N1L3
Canada
Jun 17, 2024 Insight Global

Job Type

Contract

Category

Financial Services

Req #

TOR-680093

Pay Rate

$78 - $117 (hourly estimate)

Who Can Apply

  • Candidates must be legally authorized to work in Canada

Job Description

Insight Global is looking for a Sr. Credit Risk Modeler to join one of the big banks in the Risk Model Development area. A Credit Risk Modeler will play a pivotal role in the development of various stress testing wholesale and retail models over the next 12 months. The project aims to create advanced models that provide accurate Risk-Weighted (RWA) and loss estimates under both Business-As-Usual (BAU) and stress scenarios. The focus will be on adequately predicting portfolio migration from quarter to quarter and over longer time horizons, a key driver for the new suite of Probability of Default (PD) models. Additionally, updates to Loss Given Default (LGD) and Exposure at Default (EAD) models are integral to the project.



Key Responsibilities:

* Develop and update stress testing models, ensuring accuracy in predicting portfolio migration over time and capturing the nuances of Business-As-Usual (BAU) and stress scenarios.

* Contribute to the redevelopment of models, primarily focused on the Canadian business, and subsequently, the second phase with a focus on the U.S. business.

* Work on both redevelopment projects applying the new modeling framework and on new models for portfolios that require a more specialized approach.

Required Skills & Experience

* 5+ years of experience as a Credit Risk Modeler developing stress testing models for financial institutions.

* Advanced degree in Statistics, Mathematics, Machine Learning, or Physics (Masters or PhD).

* Expertise in real life predictive modeling and in regulatory modeling, particularly in the areas of portfolio migration, Probability of Default (PD) models, Loss Given Default (LGD), and Exposure at Default (EAD).

* Familiarity with the Canadian and US banking landscape and regulatory requirements.

* Strong programming skills (e.g., Python, R, SAS) and proficiency in data manipulation and analysis.

Benefit packages for this role will start on the 31st day of employment and include medical, dental, and vision insurance, as well as HSA, FSA, and DCFSA account options, and 401k retirement account access with employer matching. Employees in this role are also entitled to paid sick leave and/or other paid time off as provided by applicable law.