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Senior Specialist, Model Validation Expert

2 months ago


Montreal, Quebec, Canada Canada Mortgage and Housing Corporation Full time
About the Role

We are seeking a highly skilled Senior Specialist, Model Validation to join our Model Risk Management division, Model Validation group. As a key member of our team, you will play a critical role in ensuring the accuracy and reliability of our financial models.

Key Responsibilities
  • Perform thorough validation of various 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 for improvement.
  • Draft comprehensive validation reports and discuss model issues with stakeholders.
  • Make informed decisions on complex issues and provide expertise to ensure the Corporation is not at undue risk.
  • Contribute to the development of model validation procedures and risk governance to reflect industry best practices.
Requirements
  • A postgraduate degree in Quantitative Finance, Mathematics, Statistics, Data Science, Actuarial Science, Finance, Economics, or a related field.
  • A minimum of five years of relevant experience in modelling/validation or quantitative analytics at a 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.
  • Demonstrated experience in writing technical modelling or validation reports.
  • Ability to persuade, influence, and/or negotiate with colleagues, clients, and senior management.
  • Ability to research issues, analyze problems, synthesize information, and make recommendations.
Preferred Qualifications
  • Professional designation in a related field.
  • Demonstrated experience with mortgage insurance, retail lending, scorecard development, economic capital, and stress testing.
  • Experience with Machine Learning algorithms and Probabilistic Modelling.
About Us

Canada Mortgage and Housing Corporation (CMHC) is a leading provider of mortgage insurance and housing finance solutions. We are committed to helping Canadians achieve their housing goals and promoting the stability of the Canadian housing market.

We are an inclusive and diverse organization that values the contributions of our employees. We offer a range of benefits and opportunities for professional growth and development.