Manager, Credit Risk Methodology and Analytics

2 weeks ago

Toronto, Canada Sun Life Full time

You are as unique as your background, experience and point of view. Here, you’ll be encouraged, empowered and challenged to be your best self. You'll work with dynamic colleagues - experts in their fields - who are eager to share their knowledge with you. Your leaders will inspire and help you reach your potential and soar to new heights. Every day, you'll have new and exciting opportunities to make life brighter for our Clients - who are at the heart of everything we do. Discover how you can make a difference in the lives of individuals, families and communities around the world.

This role will report to the Director, Credit Risk Methodology and Analytics, and will assist in the development and management of enterprise-wide credit risk management and oversight function at Sun Life Financial (SLF). The Manager will support the Director and focus on the methodology development, production and reporting of risk appetite measures including Credit Earning-at-Risk and Credit Capital-at-Risk. The director will be very familiar with recent changes in accounting standards related to insurance industry especially IFRS 9 and IFRS 17.

**What will you do?**
- Support the development and implementation of the Earnings-at-Risk and Capital-at-Risk methodologies for credit risk sensitive instruments.
- Develop and maintain a scalable infrastructure for the production of regular and ad-hoc reporting covering Asset classes, Business Groups and the Enterprise.
- Provide analytical support and enhance models on credit risk measurement under IFRS 9 and IFRS 17 requirements.
- Assist Director and inform senior management, business group risk officers, portfolio management and Investments on the principles of Sun Life's portfolio credit risk models and their impact on the organization.
- Maintain complete and up-to-date documentation for all processes, assumption changes and parameter specifications of the models/methodologies used in credit risk management.
- Independently monitor and report limit breaches and track remediation.
- Keep abreast of changing best practices in the field of credit risk management and incorporate best practice when and where appropriate.
- Share insights with respect to credit markets and our portfolio generated through analysis and stress-testing.
- Provide assistance on other initiatives in risk measurement such as counter-party credit risk, climate risk and etc.

**What do you need to succeed?**
- 3+ years work experience related to credit risk analytics, methodology or Insurance Asset and Liability management
- Excellent analytical skills, and intellectual curiosity
- Strong verbal and written communication skills, particularly the ability to simplify complicated information and present it in a practical context
- Provide assistance on other initiatives on risk measurement such as counter-party credit risk, climate risk and etc.

**Capabilities**:

- Good understanding in accounting standards related to insurance industry specially IFRS 9 and IFRS 17
- Experience in model development of credit risk parameters
- Strong technical skills including Python, R, SAS, SQL or VBA
- Knowledge of Basel II, Solvency II, MCCSR and LICAT
- Strong working knowledge of best-practice approaches related to back-testing, parameter validation, and stress-testing of credit risky assets in a portfolio credit risk context

**What's in it for you?**
- 20 vacation days per year
- Flexible Benefits from the day you join to meet the needs of you and your family
- Pension, stock and savings programs to help build and enhance your future financial security
- The opportunity to move along a variety of career paths with amazing networking potential
- Great Place to Work® Certified in Canada and the US.
- Named 2021 “Best Places to Work” by Glassdoor
- Canada Award for Excellence for Mental Health at Work - 2021
- Flexible hybrid work model
- Work and professional development that is united by our Purpose: to help Clients and Employees achieve lifetime financial security and live healthier lives
- A friendly, collaborative, and inclusive culture

LI-Hybrid

At Sun Life we strive to create a flexible work environment where our employees are empowered to do their best work. Several flexible work options are available and can be discussed throughout the selection process depending on the role requirements and individual needs.

We thank all applicants for showing an interest in this position. Only those selected for an interview will be contacted.

**Salary Range**:
74,100/74 100 - 120,800/120 800

**Job Category**:
Risk Management

**Posting End Date**:
02/06/2023

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