Manager, Credit Risk Modelling
2 weeks ago
DEPARTMENT:
Investment Risk Analytics
- CLOSING DATE:
- July 24, 2023
Opportunity
Do you excel at creating risk analytics that drive measurable business impact? Do you take pride in contributing to the financial security of hundreds of thousands of Albertans? If so, the role of Manager, Credit Risk Modeling and Research could be your next career adventure.
Highly successful Managers share many of the same characteristics. They are self-starting, intellectually curious, results focused with exceptional finance, data and programming skills. Highly influential, Managers have exceptional written and verbal communications skills, and excel presenting complex information to large and small groups. They are relationship builders and able to interact with diverse groups of internal stakeholders. They coach, mentor and inspire a team to new levels of professional success.
Being part of the Investment Risk Analytics team, responsible for the credit risk methodology, you will be the owner of the credit risk models. You will be required to research and develop methodologies to capture credit risk factors such as: loss given default, probability of default, credit jump/migration and right/wrong way exposure. To keep pace with market changes and the evolution of AIMCo’s investments, the Manager, Credit Risk Modelling will play an increasingly important role within the organization.
**Responsibilities**:
- Developing models or evaluating vendor models for credit ratings, counterparty credit risk and credit portfolio modelling
- Reviewing ongoing model performance, assessing overall model health within a given framework, identifying potential problems and working with stakeholders to resolve issues
- Conducting robust validations of a wide variety of models using established standards, developing benchmarks, and replicating models where applicable
- Perform data analysis and model checks, as needed to support model and quality assurance
- Assigning work and requirements for the ongoing operation of the risk model in production
- Master’s degree in a quantitative discipline (e.g. Finance, Economics, Financial Mathematics, Computer Science). Equivalent industry experience will be considered as substitute.
- Minimum of 6 years’ modelling experience specifically in designing, estimating and implementing risk-related statistical models
- Demonstrated understanding of market-relevant measures of risk, and, in particular, in the area of credit risk
- Familiarity with modelling techniques including logistic regression, multivariate analysis and Monte Carlo simulation
- Moderate R/Python experience with an ability to decipher R/Python code and execute a series of interdependent modeling jobs that are not necessarily well documented
- Experience with investment data and systems (for example, Kamakura KRIS, Moody’s RiskFrontier, FactSet, MSCI RiskManager) would be advantageous
- Strong verbal, written and presentation abilities and superior interpersonal skills are required to present complex information, develop strong working relationships and work collaboratively within a team environment
- Thrives under pressure and drive to contribute to team goals
Year One Success:
The manager is to take full ownership of existing credit modelling methodologies and initiate development or acquisition of a credit stress testing model.
Next Steps
We are excited to meet you. Please submit your resume or CV to be considered for this opportunity. Applications are being reviewed on a rolling basis and we will be in touch with any questions.
Just like our investments, our international team is stronger when we are diversified. At AIMCo, we draw upon the differences in who we are, where we come from, and the way we think to foster sophisticated solutions for Albertans. Doing business the right way means building an equitable organization inclusive of all races, genders, ages, abilities, religions, neurodiversity, identities, and lived experiences. Simply put, when you can show up as your authentic self every day, you and your team can truly thrive — all in service of our clients and their beneficiaries.
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