Director, Credit Risk Analytics Lead
4 days ago
Join Sun Life Financial as a Director, Credit Risk Analytics and Methodology, and play a key role in developing and managing the company's enterprise-wide credit risk management and oversight function. This role will report to the AVP, Credit Risk Analytics, and will assist in the development and management of credit risk management and oversight function at Sun Life Financial.
About the Role
This role will 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 accounting standards related to the insurance industry, especially IFRS 9 and IFRS 17.
Key Responsibilities
- Lead the development and implementation of 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.
- Act as the primary resource to educate 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.
Requirements
- Successful candidates will possess a graduate degree in actuarial science, mathematics, economics, or finance.
- 7+ years of work experience, including 3-5 years of 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.
- Strong experience in credit risk model development and both bottom-up and top-down credit risk management methodologies.
- Good understanding of accounting standards related to the insurance industry, especially IFRS 9 and IFRS 17.
- Superb technical skills and familiar with programming in Python, R, VBA.
- Knowledge of Basel II, Solvency II, MCCSR, and LICAT.
- Familiarity with third-party credit risk applications would be an asset (e.g., from software providers such as Moody's KMV, MSCI (RiskMetrics) etc.).
- Strong working knowledge of best-practice approaches related to back-testing, parameter validation, and stress-testing of credit assets in a portfolio credit risk context.
- Ability to motivate and provide guidance to team members.
What's in it for you
- Being a member of the Sun Life family, a group of people united by our Purpose: to help Clients and Employees achieve lifetime financial security and live healthier lives.
- In 2024, Sun Life ranked among the top 100 most sustainable global corporations by Corporate Knights for the 15th consecutive year, leading Canadian insurers.
- We are proud to be on the 2024 Best Workplaces in Canada list by Great Place to Work.
- We're also listed as one of the Best Workplaces for Women and Best Workplaces with Most Trusted Executive Teams.
- Our unique Sabbatical Program gives you the opportunity to take up to 6 weeks off, every five years.
- Care Days available for self-care or care of others (i.e., family or others you may support) and Sick Days to support your well-being.
Salary Range: $105,000 - $150,000
Job Category: Risk Management
Posting End Date: Not specified
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.
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