Quantitative Analytics Expert
2 weeks ago
About the Role:
The Model Risk Management division, Model Validation group, at Canada Mortgage and Housing Corporation is seeking a skilled individual to apply advanced analytical skills and knowledge of Canada's financial and mortgage sectors to modelling initiatives.
In this role, you will design and implement statistical tests to assess model sensitivity, robustness, and performance, while ensuring the Corporation is not at undue risk. You will also assess model soundness and risk in both approach and usage, and monitor model performance to ensure ongoing quality.
This is a temporary position with a duration of 18 months.
Key Responsibilities:
- Perform validation of different models, including credit risk, pricing, actuarial, IFRS17, economic capital, stress testing, and machine learning models.
- Design and implement statistical tests to assess model sensitivity, robustness, and 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.
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