Data Modeling Expert for Credit Risk Assessment

1 day ago


Montreal, Quebec, Canada National Bank of Canada Full time

A competitive salary range of $120,000 - $180,000 per year awaits an experienced Data Scientist to lead the development and deployment of credit risk models at the National Bank of Canada. This esteemed role is part of a dynamic team that combines data with internal expertise to create performing and explainable models.

Job Summary

We are seeking a Senior analytical data scientist to join our Credit risk models team. As an expert in credit risk modeling, you will be responsible for developing and deploying models to assess the credit risk of retail and commercial clients of the bank.

Key Responsibilities:
  • Model Development: Define the approach, lead, and develop regulatory PD, LGD, and EAD models
  • Model Translation and Advocacy: Translate and advocate for the developed models to internal partners and regulatory authorities
  • Collaboration: Actively engage with IT and business partners to ensure understanding and implementation of developed models
About Our Team

Within the Credit Analytics and Climate Risk sector, you report to the Senior Director of Credit Risk Models and are part of a team of about twelve colleagues. Our team stands out for its diverse expertise in credit risk and quantitative methods. You enjoy a flexible and hybrid working environment.

Requirements

To succeed in this role, you will need:

  • Credentials: Master's degree in mathematics, statistics, financial engineering, econometrics, or a related discipline with a minimum of three years of relevant experience
  • Technical Skills: Strong knowledge of credit risk management and Basel Accord, solid programming skills in SAS or SQL, and good understanding of IFRS9 Standard and its application
What We Offer

At the National Bank of Canada, we offer a comprehensive benefits package, including flexible group insurance, generous pension plan, opportunities to get involved in community initiatives, and a virtual sleep clinic. We're a bank on a human scale that values courage, entrepreneurial culture, and passion for people.



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