Avp, Credit Risk Analytics

5 days 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.

**_ Summary_**

The AVP, Credit Risk Analytics, supports Credit Risk Management (CRM) through the development and implementation of risk methodologies that include risk rating and portfolio risk methodologies for Private Fixed Income, Public Bonds and Mortgage asset classes.

The AVP, Credit Risk Analytics, is responsible for the management and development of the Investment Credit Risk System (ICRS) and leads the quarterly investment risk reporting process.

The Assistant Vice-President has accountability for developing the skills and competencies of members of the analytics team, to ensure that the existing risk methodologies underlying the risk appetite and other credit risk measures are well understood and are reported on a consistent and comprehensive basis.

The three main pillars of responsibility include:
**_ Risk Methodology and Risk Appetite Development: _**
- Leads the development, implementation and maintenance of various risk rating scorecards including Probability of Default (PD) and Loss Given Default (LGD) scorecard models. The AVP works with frontline analysts, in addition to the Credit Risk Adjudication teams, to ensure that scorecard frameworks and rating outputs are well understood by all stakeholders, and that appropriate testing is conducted prior to the deployment of scorecards.
- Monitors proactive identification of scorecards which may require updating due to changes in rating methodologies, or degradation of model performance measures including risk rating overrides.
- Works with the Asset and Liability Management, Corporate Actuarial, and Investment Finance teams to ensure methodologies for the calculation of risk appetite measures are appropriate and aligned with regulatory changes and accounting standards (e.g. IFRS 9 and IFRS 17)
- Manages the quarterly process of credit risk appetite computation and reporting: credit Earning-at-Risk and Capital-at-Risk, compliant with established guidelines and operating procedures, and RDAAR requirements.
- Develops appropriate frameworks, tools, and methodologies to conduct regular and ad-hoc stress/sensitivity testing of credit portfolios in addition to other analysis related to assessment of credit risk measures.
- Develops appropriate methodologies to integrate new asset classes/instruments in credit Earnings-at-Risk and Capital-at-Risk measures.
- Monitors macro and regional economic performance and indicators and their impact on credit performance.

**_ Investment Credit Risk System _**(ICRS)**:

- Manages the day-to-day operations of ICRS, ensuring its availability to the frontline analysts globally for the assignment of PD and LGD at the deal level.
- Maintains existing and implement new Probability of Default (PD) and Loss Given Default (LGD) scorecard models in ICRS for Public and Private Fixed Income Assets including Commercial Mortgages.
- Manages the continuous development of ICRS to ensure that it continues to evolve in response to other IT systems/components.
- Expands ICRC access to all relevant business groups and newly acquired companies in a timely manner, ensuring that the risk rating practices are consistently observed across the organization.

**_ Credit Risk Reporting: _**
- Leads the quarterly reporting of credit and investment risk, through the compilation of investment risk management reporting (IRR deck) for the Investment and Credit Risk Committee (ICRC) and the Sun Life Financial Board. Reports on credit risk appetite and other credit risk measures to a wide audience including multiple levels of senior management, Internal Audit and OSFI.
- Reports on the effectiveness of risk rating models and rating overrides through annual and bi-annual reports, respectively
- Manages ad hoc analysis including deep dive credit topics of interest to Senior Management and the Board.
- Ensures that the risk reporting is compliant with the established guidelines and operating procedures and RDAAR requirements.

**_ Qualifications_**:

- Graduate degree in a quantitative discipline including, Finance, Mathematics, or Actuarial Science. CFA® and FRM® would be an asset.
- 10 - 15 years of work experience in risk management with 5 - 10 years direct experience related to credit risk analytics, capital methodology, credit risk model development and regulatory capital.
- Strong verbal and written communication skills, particularly the ability to simplify com


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