Modelling Analyst (credit risk)

ProViso Staffing; Toronto; On-site; CAD 60,000 - 100,000; Full time

Job summary

An established industry player is seeking a Modelling/Forecasting Senior Analyst to join their quantitative team. This role presents a fantastic opportunity for recent graduates to gain relevant experience in developing and enhancing credit risk models. You will work closely with cross-functional teams, applying your strong statistical modeling skills and programming expertise in SAS, Python, or MATLAB. If you are an out-of-the-box thinker with a passion for problem-solving and a strong work ethic, this position offers you the chance to make a significant impact while working on innovative projects in a dynamic environment.

Qualifications

• Strong background in data-driven statistical modeling and programming.
• Graduate degree in a quantitative field required.

Responsibilities

• Develop and implement credit risk models for non-retail portfolios.
• Collaborate with teams and conduct applied research for modeling.

Skills

Statistical Modeling

Supervised Learning

Unsupervised Learning

Programming in SAS

Programming in Python

Programming in MATLAB

SQL

Problem Solving

Communication Skills

Education

Graduate degree in Quantitative Field

Job description

Candidate Profile Details:

• Years of experience: 1-5 years of exp (new grads)
• Reason for request/why opened: additional – workload
• % Interaction with Stakeholders: 25%
• Team Size: 9
• Project: ongoing project
• Selling Point of the position: good opportunity to get relevant exp in quantitative team
• How will performance be measured: accuracy of writing code and speed
• Best vs Average Candidate: graduate degree in quant discipline

Summary Of Day-To-Day Responsibilities:

• The NRMD group is hiring a Modelling/Forecasting Senior Analyst to develop, enhance, and implement credit risk models for non-retail portfolios. Detailed responsibilities are as follows:
o Develop PD, LGD and UGD models for DFAST, EWST, CECL and IFRS9 usage
o Design econometric models to explore relationships between credit losses and the macroeconomic environment
o Design mathematical and statistical algorithms to enhance existing models
o Conduct applied research for credit risk modeling
o Perform ad hoc analyses as required by management and other business partners
o Participate in design, planning, implementation and testing of various modeling initiatives
o Collaborate with non-retail teams and participate in cross-functional projects as needed
o Produce and maintain well-articulated documentation on above
o Write and maintain robust code for performing the above functions.

Must Have:

• Strong background in data-driven statistical modeling, supervised learning, unsupervised learning and discriminative models.
• Strong theoretical and numerical background.
• Programming experience in SAS, Python or MATLAB is strongly preferred.
• Knowledge of coding standards and object-oriented programming.
• Experience working with relational databases and SQL.
• Strong interest and ability to undertake applied research.
• Out-of-the-box thinker and enthusiastic in solving problems.
• Strong written and verbal communication skills.
• Ability to work in a multi-disciplinary team setting.
• Strong work ethic and adaptable to changing priorities.

Education

• Graduate degree in a quantitative field, such as Applied Econometrics, Economics, Mathematics, Statistics, Actuarial Science, Computer Science or Physics.

Job Details

13207

Contract

5 Months

Toronto