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Senior Specialist, Model Validation Expert

2 months ago

Toronto, Ontario, Canada CMHC - SCHL Full time
About the Role

We are seeking a highly skilled Senior Specialist, Model Validation to join our Model Risk Management division, Model Validation group at CMHC - SCHL. In this role, you will apply your advanced analytical skills and knowledge of Canada's financial and mortgage sectors to modelling initiatives, including model development, validation, and interpretation of model results.

Key Responsibilities
  • Perform validation of various models, including credit risk, pricing, actuarial, IFRS17, economic capital, stress testing, and machine learning models, to assess model fitness for purpose and performance.
  • Design and implement statistical tests to assess model sensitivity, robustness, and ongoing performance.
  • Assess model soundness and risk in both approach and usage.
  • Monitor model performance to ensure ongoing quality and proactively identify opportunities to improve existing models and analytical tools.
  • Draft comprehensive validation reports and discuss model issues with stakeholders, including model owners, developers, and users.
  • Make sound and balanced decisions on complex issues and provide expertise to ensure the Corporation is not at undue risk.
  • Contribute to the improvement of model validation procedures and model risk governance to reflect industry best practices.
Requirements
  • A postgraduate degree in Quantitative Finance, Mathematics, Statistics, Data Science, Actuarial Science, Finance, Economics, or other quantitative field.
  • A minimum of five years of relevant experience in modelling/validation or quantitative analytics at a bank, insurance company, asset manager, or other types of financial institution.
  • Demonstrated experience with actuarial, statistical, and econometric models.
  • Demonstrated knowledge and experience with various quantitative software, including R, Python, VBA, Databricks, Clouds, etc.
  • Knowledge of OSFI capital rules and risk management standards and IAIS capital standards.
  • Demonstrated experience in writing technical modelling or validation reports.
  • Ability to persuade, influence, and/or negotiate with colleagues, clients, and senior management.
  • Ability to research issues, analyze problems, synthesize information, and make recommendations.
Preferred Qualifications
  • Professional designation, such as Actuarial, Chartered Financial Analyst, Professional Risk Manager, Financial Risk Manager, Certificate in Quantitative Finance, etc.
  • Demonstrated experience with mortgage insurance, retail lending, scorecard development, economic capital, and stress testing.
  • Experience with Machine Learning algorithms and Probabilistic Modelling.
  • Bilingual (English & French).