Senior Consultant, Model Risk and Quantitative Analytics

3 weeks ago

Toronto ON, Canada RFA group Full time
Senior Consultant, Model Risk and Quantitative Analytics (9 month contract)

Monday, March 25, 2024

RFA’s residential mortgage lending business is operated by RFA Mortgage Corporation and RFA Bank of Canada, a federally regulated Schedule I Bank. RFA Mortgage Corporation specializes in Prime lending (Insured, Insurable, Uninsurable), while RFA Bank of Canada is a balance sheet based Alternative mortgage lender (Alt-A and B lending). Combined, RFA offers mortgage brokers a one-stop shop with our full suite of competitive Prime and Alternative mortgages.
RFA’s strategic vision is to be a long-term leader in the residential lending segment by offering a value proposition beyond just rate and compensation. Through building a competitive broker experience and solutions-oriented product suite, RFA’s goal is to be recognized and recommended by our mortgage broker partners, mortgagors, and other strategic partners, for our financing solutions and broker/client experience.

The Opportunity
The senior consultant will assist the Bank’s ERM team in performing model testing, documentation, and validation as part of the Bank’s overall Model risk program. Responsibilities include working with various internal departments in the development of financial models, conducting back-testing, ensuring adequate and proper documentation, developing procedures and guidelines as they relate to the individual models. The individual should possess a strong business acumen, understanding such key concepts as duration, NII & EVE models, Present valuation, and stress testing models. An ability to pay strong attention to detail, and dive into data elements will be crucial to success in this role.

Model Validation and Testing:

  • Works with model owners to test and document individual models as part of the overall E-23 guidelines (Model Risk Management). This includes testing model outputs, assumptions, and methodologies.
  • Perform testing on model outputs to ensure accuracy and reliability of calculations.
  • Develops analytical solutions and make recommendations based on an understanding of the business strategy and stakeholder needs.
  • Provides specialized consulting, analytical and technical support to model owners.
  • Assist in the development of model risk rating methodologies.
  • Executes work to deliver timely, accurate, and efficient service.
  • Review and communicate Model Validation reports, memos and presentations to risk management and businesses regarding the validity and potential risks associated with models/methodologies under review.
  • Manage relationship with key contacts as identified for each validation request submission.
  • Comply with internal policies, procedures, and regulatory requirements where applicable.
  • Keep abreast of industry and regulatory developments and evolving expectations; develop relationships with counterparts at other financial institutions.
  • Ensure that proper and adequate model documentation (using model inventory template) and model risk mitigation processes are in place to appropriately assess and mitigate model risk.

Regulatory & Compliance

  • Complete all regulatory and compliance and risk management training.
  • Comply with requirements as set by the Compliance function and external regulatory bodies.
  • Act in accordance with the company’s Board-approved risk appetite and tolerance for risk.

What you can bring to RFA:

  • 7 – 10 years of experiences working in the financial models, in either a development or testing capacity.
  • Solid understanding of financial concepts/metrics, Economic Value of Equity, Net Interesting income, cash flow projections, present valuation, duration, convexity, etc.
  • Ability to interpret and apply above metrics into meaningful tools for management use.
  • Strong ability to document processes. Including flow charts, formula’s, data definitions, etc for use in internal documents such as policies, standards, and procedures.
  • Experience in model risk ratings.
  • MBA with a combination of a CFA or FRM is desirable.

Are you the Right Candidate?

  • Effective communication and specifically the ability to summarize complex ideas in simple terms; enjoy working in collaborations.
  • Experience in managing and pushing forward projects.
  • Stress testing/modelling/loss forecasting experience is preferred

Accessibility
Accommodation is available upon request for applicants and employees with disabilities. If you are contacted for a job opportunity, please advise us of any accommodations needed to ensure you have access to a fair and equitable process. Any information received relating to accommodation will be addressed confidentially.

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