Senior Specialist, Model Validation Expert

2 weeks ago

Toronto, Ontario, Canada CMHC - SCHL Full time

About the Role

We are seeking a Senior Specialist, Model Validation to join our Model Risk Management division, Model Validation group at CMHC. In this role, you will apply your advanced analytical skills and knowledge of Canada's financial and mortgage sectors to modelling initiatives, including model development, validation, and interpretation of model results.

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 identify opportunities to improve existing models and analytical tools.
  • Draft comprehensive validation reports and discuss model issues with stakeholders.

Requirements

  • A postgraduate degree in Quantitative Finance, Mathematics, Statistics, Data Science, Actuarial Science, Finance, Economics, or other quantitative field.
  • A minimum of five years of relevant experience in modelling/validation or quantitative analytics at a bank, insurance company, asset manager, or other financial institution.
  • Demonstrated experience with actuarial, statistical, and econometric models.
  • Demonstrated knowledge and experience with various quantitative software.
  • Knowledge of OSFI capital rules and risk management standards and IAIS capital standards.

Preferred Qualifications

  • Professional designation in Actuarial, Chartered Financial Analyst, Professional Risk Manager, Financial Risk Manager, Certificate in Quantitative Finance, etc.
  • Demonstrated experience with mortgage insurance, retail lending, scorecard development, economic capital, and stress testing.
  • Experience with Machine Learning algorithms and Probabilistic Modelling.
  • Bilingual (English & French).

About CMHC

CMHC is an inclusive workplace where diversity of thought and people are recognized, valued, and considered essential to achieving our mission. We're committed to employment equity and encourage women, Indigenous Peoples, persons with disabilities, veterans, and persons of all races, ethnicities, religions, abilities, sexual orientations, and gender identities and expressions to apply.

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