Data Risk Modeling Expert

1 week ago


Montreal, Quebec, Canada National Bank of Canada Full time

A role as a senior data scientist within the credit risk models team at National Bank of Canada involves serving as an expert in credit risk modeling. You will work on developing and deploying models to assess the credit risk of retail and commercial clients, combining data with internal credit expertise to create models that are both effective and explainable, advising management on strategic directions, and improving internal practices.

Key Responsibilities
  • Develop Regulatory Models

Define the approach, lead, and develop PD, LGD, and EAD models that meet regulatory requirements.

Advocate for Developed Models

Translate and advocate for the developed models to internal partners and regulatory authorities.

Collaborate with IT and Business Partners

Actively engage with IT and business partners to ensure understanding and implementation of developed models.

Contribute to Advancing Modeling Practices

Contribute to advancing internal modeling practices in line with regulatory requirements and industry advancements.

In 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
  • Master's Degree

A Master's degree in mathematics, statistics, financial engineering, econometrics, or a related discipline is required, along with a minimum of three years of relevant experience.

Credit Risk Management Knowledge

Strong knowledge of credit risk management and Basel Accord is a must-have.

Programming Skills

Solid programming skills, preferably in SAS or SQL, are essential.

IFRS9 Standard Knowledge

A good understanding of IFRS9 Standard and its application is an asset.

Benefits
  • Flexible Insurance

You can choose from flexible group insurance options.

Pension Plan

We offer a generous pension plan.

Community Involvement

There are opportunities to get involved in community initiatives.

Virtual Sleep Clinic

We provide access to a virtual sleep clinic.

Annual Salary

The estimated annual salary for this position is around $120,000-$150,000, depending on location and experience.



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