Quantitative Analyst

2 weeks ago

Toronto, Canada MUFG Full time

**Quantitative Analyst**

**Job Summary**:
The role will support the Director in the Wholesale Credit Modeling Team within the Credit Strategies Group (CSG) in a challenging but intellectually interesting and collegial environment. The primary responsibilities will revolve around modeling credit risk as part of Credit Scorecard related projects, automating certain model production processes, and researching and constructing Machine Learning solutions for credit risk models. This position has a strong focus on financial modeling and computer science aspects of the aforementioned areas.

**Primary Accountabilities**:
Statistical Modeling - responsibilities include:

- Developing and maintaining credit risk Scorecard models, including but not limited to Probability of Default and Loss Given Default Models, which consists of
- Researching financial and econometric literature
- Developing python (or statistical software) code for model construction and evaluation
- Preparing documentation on aforementioned model building tasks
- Collaborating with line of business, validation team, and/or additional model stakeholders
- Playing a key role in advancing the Machine Learning initiatives including data collection and preparation, feature engineering, parameter tuning, and exploring academia for new approaches.
- Researching academic literature for theory and approaches that match the desired problem
- Developing python (or statistical software) code for model construction and evaluation using tensorflow, sklearm, and/or other open-source software modules
- Working with model governance teams to develop methods and metrics for relevant model validation.
- Creating reports and presentations for the Group Manager and Senior Management.

Process Automation - responsibilities include:

- Developing software for process automation
- Preparing documentation on automated approach for process validationExplaining to stakeholders automated process execution

**Technical Skills**:

- Strong programming skills in in Python
- Strong skills in statistical modeling and machine learning methods, including Linear Regression, Decision Tree models such as Gradient Boosting Machines, and Neural Networks.
- Proficient in SQL
- Proficient in Microsoft Office Programs: Word, Power Point, and Excel
- Strong analytical, logical reasoning, and interpersonal skills

**Experience Required**:

- Relevant experience in financial/economic modeling and/or Scorecard modeling preferred through prior internship, undergraduate/graduate level research, or work position.

**Education Required**:

- Bachelor's degree or higher in a quantitative or computer programing field such as Quantitative Finance, Economics, Statistics, or Computer Science.

**Work Environment**:

- WFH - split: mainly remote with a few days a month in-office

**Other details**:

- Job Family MUFG Canada
- Pay Type Salary

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