Quantitative Risk Analyst / Credit Risk Models

BeachHead; Toronto; On-site; CAD 80,000 - 100,000; Full time

Job summary

A leading financial agency in Toronto is seeking a Quantitative Risk Analyst to lead the development of Non-Retail Credit Risk Rating models. You will conduct extensive testing, create data spreadsheets, and engage with subject matter experts to ensure compliance with best practices. The ideal candidate has over 3 years of experience in SQL, Python, and advanced Excel skills. This role offers an opportunity to contribute significantly to credit risk assessment.

Qualifications

• 3+ years of experience with SQL.
• 3+ years of experience with Python.
• 3+ years of experience with Advanced Excel skills (VBA, macros).

Responsibilities

• Conduct extensive Business Acceptance Testing to ensure models meet design specifications.
• Create and manipulate extensive data spreadsheets for model tuning, stress and sensitivity testing.
• Support Annual Model Review and Model Validation schedules as required.

Skills

SQL

Python

Advanced Excel skills (VBA, macros)

Strong written & verbal communication skills

Job description

Overview

Working with one of the top financial clients, this role calls for a Quantitative Risk Analyst / Credit Risk Models who will lead the development of Non-Retail Credit Risk Rating models. This candidate will participate in the development, tuning, and documentation for new or amended Borrower Risk Rating (BRR), Facility Risk Rating (FRR), and Expected Loss (EL) models.

Responsibilities

• Conduct extensive Business Acceptance Testing to ensure that models meet design specifications
• Create and manipulate extensive data spreadsheets for model tuning, stress and sensitivity testing
• Support Annual Model Review and Model Validation schedules as required, including data and documentation preparation
• Engage with working groups of subject matter experts to ensure that all credit risk models are current per best industry practices and standards
• Review and understand risk rating methodologies of public rating agencies (Moody's, S&P, Fitch, DBRS) and identify potential gaps with internal models
• Work closely with Credit Risk Policy in the launch of new initiatives or reviews to ensure enterprise-wide models are consistent across borders
• Complete ad hoc analysis promptly as requested

Desired Skill Set

• 3+ years of experience with SQL
• 3+ years of experience with Python
• 3+ years of experience with Advanced Excel skills (VBA, macros)
• Strong written & verbal communication skills

Nice To Have

• Experience working with stakeholders, executives, and upper management
• Experience in commercial / corporate banking function or other credit risk areas
• Working knowledge of non-retail credit risk rating methodologies and Basel parameters (PD, LGD, EAD)

BeachHead is an equal opportunity agency and employer. We advocate for you and welcome anyone regardless of race, color, religion, national origin, sex, physical or mental disability, or age.

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