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Senior Specialist, Model Validation Expert
2 months ago
We are seeking a highly skilled Senior Specialist, Model Validation to join our Model Risk Management division, Model Validation group. As a key member of our team, you will play a critical role in ensuring the accuracy and reliability of our financial models, which are used to inform decision-making and enhance risk management.
Key Responsibilities- Perform thorough validation of various models, including credit risk, pricing, actuarial, IFRS17, economic capital, stress testing, and machine learning models, to assess their fitness for purpose and performance.
- Design and implement statistical tests to evaluate model sensitivity, robustness, and ongoing performance.
- Assess model soundness and risk in both approach and usage, providing expert recommendations for improvement.
- Monitor model performance to ensure ongoing quality and proactively identify opportunities to enhance existing models and analytical tools.
- Draft comprehensive validation reports and engage with stakeholders, including model owners, developers, and users, to discuss model issues and provide expert guidance.
- Make informed, balanced decisions on complex issues and provide expertise to ensure the Corporation is not at undue risk.
- Contribute to the development of model validation procedures and model risk governance, aligning with industry best practices.
- A postgraduate degree in Quantitative Finance, Mathematics, Statistics, Data Science, Actuarial Science, Finance, Economics, or a related field, or an equivalent combination of education and experience.
- A minimum of five years of relevant experience in modelling/validation or quantitative analytics at a financial institution, with a strong background in actuarial, statistical, and econometric models.
- Demonstrated expertise with various quantitative software, including R, Python, VBA, Databricks, and Clouds.
- Knowledge of OSFI capital rules and risk management standards, as well as IAIS capital standards.
- Demonstrated experience in writing technical modelling or validation reports.
- Excellent communication and interpersonal skills, with the ability to persuade, influence, and negotiate with colleagues, clients, and senior management.
- Ability to research complex issues, analyze problems, synthesize information, and make informed recommendations.
- Professional designation in Actuarial Science, Chartered Financial Analyst, Professional Risk Manager, Financial Risk Manager, or Certificate in Quantitative Finance.
- Demonstrated experience with mortgage insurance, retail lending, scorecard development, economic capital, and stress testing.
- Experience with Machine Learning algorithms and Probabilistic Modelling.
