Senior Data Scientist Credit Risk Modeling Expert

1 month ago


Montreal, Quebec, Canada National Bank Full time
About the Role

We are seeking a highly skilled Senior Data Scientist to join our Credit Risk Models team. As a key member of our team, you will be responsible for developing and deploying credit risk models to assess the creditworthiness of retail and commercial clients.

Key Responsibilities
  1. Model Development: Define the approach, lead, and develop regulatory PD, LGD, and EAD models to assess credit risk.
  2. Model Advocacy: Translate and advocate for the developed models to internal partners and regulatory authorities.
  3. Collaboration: Actively engage with IT and business partners to ensure understanding and implementation of developed models.
  4. Expertise: Serve as a modeling expert for colleagues, internal or external partners, and various committees.
  5. Issue Resolution: Quickly identify issues and challenges related to models, develop appropriate solutions, and ensure stakeholder buy-in.
  6. Practice Advancement: Contribute to advancing internal modeling practices in line with regulatory requirements and industry advancements.
About the Team

You will be part of a diverse team of about twelve colleagues with expertise in credit risk and quantitative methods. Our team enjoys a flexible and hybrid working environment.

Requirements
  1. Education: Master's degree in mathematics, statistics, financial engineering, econometrics, or a related discipline.
  2. Experience: Minimum of three years of relevant experience in developing statistical models.
  3. Knowledge: Strong knowledge of credit risk management and Basel Accord.
  4. Skills: Solid programming skills, preferably in SAS or SQL.
  5. Asset: Good understanding of IFRS9 Standard and its application.
About Us

We are a bank on a human scale that stands out for its courage, entrepreneurial culture, and passion for people. Our mission is to have a positive impact on people's lives. We offer a barrier-free workplace that is accessible to all employees and welcome candidates from diverse backgrounds.



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