Senior Consultant - Credit Risk Modelling

EY; Toronto; On-site; CAD 88,000 - 132,000; Full time

Benefits offered by this job

Mental health benefits

Wellbeing benefit

Job summary

EY in Toronto is seeking a Senior Consultant to lead and support credit risk model development and validation for banking clients. You will work across engagements on AIRB, IFRS 9, ICAAP, and regulatory risk programs, partnering with colleagues in a multi-disciplinary team to deliver high-quality advisory services.

The role requires strong quantitative skills, experience in programming (Python, R, SQL), and the ability to travel across Canada to meet clients.

Qualifications

• Minimum 2 years of relevant experience in credit risk model development or validation at a major financial institution or consulting
• Master’s degree in a quantitative field (Finance, Economics, Mathematics, Statistics, Engineering) or equivalent experience
• Proficiency in programming languages such as Excel, SAS, SQL, R, and Python
• Knowledge of Basel II/III and IFRS 9 regulatory requirements
• Experience in PD, LGD, EAD, or ECL models

Responsibilities

• Lead or support EY services in market engagements from planning to execution
• Develop and validate credit risk models (AIRB, IFRS 9, stress testing) per regulatory guidelines
• Design, optimize and implement capital management frameworks (ICAAP, lending strategies)
• Contribute to risk transformation programs (climate risk, OSFI initiatives)
• Maintain productive client relationships and support business development

Skills

PD modelling

LGD modelling

EAD modelling

ECL modelling

Data analytics

AI/ML techniques

Banking risk regulatory

Communication skills

Presentation skills

Excel

PowerPoint

Word

Python

R

SQL

Education

Master’s degree in quantitative field

Tools

Excel

SAS

SQL

R

Python

Job description

At EY, we’re all in to shape your future with confidence.

We’ll help you succeed in a globally connected powerhouse of diverse teams and take your career wherever you want it to go.

Join EY and help to build a better working world.

The opportunity

EY’s Financial Services Risk Management (FSRM) practice is an advisory unit that provides risk management support to banks, insurance companies and asset managers. Our team includes individuals who have a combination of qualitative, quantitative, regulatory and programming skills. We are seeking a Senior Consultant with modelling experience acquired in the banking industry or in consulting services to join our team. This position is available either in Toronto or Montreal, in latter case they must be able to work in English and French.

This job posting relates to an exis

Your Key Responsibilities

As a Senior Consultant in the FSRM team, you will be leading or supporting EY services in the market through business development, engagement planning and high-quality engagement execution. Leveraging your strong technical expertise, you will offer professional advice to clients across a broad spectrum of situations. You will be working on engagements relating to:

• Development and validation of credit risk models (e.g. AIRB, IFRS 9, stress testing) based on industry best practices and regulatory requirements
• Design, optimization and implementation of capital management frameworks and lending strategies (ICAAP, risk appetite limits, lending processes)
• Participate in risk transformation programs related to regulatory changes or merger-acquisitions (climate risk frameworks, OSFI applications, resolution of regulatory findings)

You will be taking part in EY educational programs to continuously develop skills and developing and maintaining productive relationships with clients.

Skills And Attributes For Success

• Practical experience in modeling techniques applicable to credit risk models such as PD, LGD, EAD or ECL models
• Strong quantitative skills in data analytics and modelling incl. artificial intelligence and machine learning techniques
• Good knowledge of the banking industry and their risk management regulatory framework
• Strong communication, presentation, and technical writing skills to describe ideas, concepts and issues that involve interpretation, analysis, and assessment of complex conceptual topics and proficiency in the use of PowerPoint, Word and Excel
• Willingness to work in team both virtually and onsite, and ability to travel across Canada to meet with clients (rare)

To qualify for the role, you must have

• Minimum 2 years of relevant experience within a credit risk model development or model validation team at a major financial institution or in a consulting firm
• Strong academic background with a Master’s degree in quantitative field such as Finance, Economics, Mathematics, Statistics or Engineering (equivalent education and/or experience may also be considered)
• Significant experience and proven ability to program in pertinent languages, such as Excel, SAS, SQL, R, and Python.
• Knowledge of credit risk regulatory requirements (Basel II, Basel III and post-crisis regulatory reforms) and accounting standards (IFRS 9)
• Knowledge or experience of credit risk models and methodologies: measurement methodologies (PD, LGD and EAD), retail credit risk scorecards and wholesale rating models

Ideally, you’ll also

• Consulting, stress testing, or regulatory experience, or accounting/control function experience
• Experience in a capital management (ICAAP, regulatory capital, economic capital, etc.) is considered an asset
• Self starting attitude, an ability to think out of the box and be driven by new challenges

What We Look For

If you’re a natural leader with a talent for answering and communicating complex client problems, we’re interested in you. You’ll need to be great at influencing people, ready to listen and confident in challenging the status quo. If you have a genuine passion for helping businesses address their most pressing problems, this role is for you.

What We Offer

When you thrive, we thrive. The EY benefits package goes above and beyond, focusing on your physical, emotional, financial and social well-being:

• $5,000 per year for mental health support benefits
• Wellbeing benefit of $1,200/year

EY reports salary ranges in accordance with applicable provincial pay transparency legislation. Individual salaries within the anticipated salary ranges noted below are determined through a wide variety of factors including but not limited to internal equity, education, relevant experience, knowledge, and applicable skill sets.

• Toronto: $88,000 to $132,000

Explore how a career at EY is yours to build at https://www.ey.com/en_ca/careers/personalized-career-development

Discover how, when and where you can work at https://www.ey.com/en_ca/careers/flexibility-mobility

Inclusiveness at EY

Inclusiveness is at the heart of who we are and how we work. We’re committed to fostering an environment where differences are valued, policies and practices are equitable, and our people feel a sense of belonging. We embrace diversity and are committed to combating systemic racism, advancing gender equity and women in leadership, advocating for the 2SLGBTQIA+ community, promoting our neuroinclusion and accessibility initiatives, and are dedicated to amplifying the voices of Indigenous peoples (First Nations, Inuit, and Métis) nationally as we strive towards reconciliation. Our diverse experiences, abilities, backgrounds, and perspectives make our people unique and help guide us. Because when people feel free to be their authentic selves at work, they bring their best and are empowered to build a better working world.

Learn about our commitment to Inclusiveness at https://www.ey.com/en_ca/about-us/corporate-responsibility/equity

EY | Building a better working world

EY is building a better working world by creating new value for clients, people, society and the planet, while building trust in capital markets.

Enabled by data, AI and advanced technology, EY teams help clients shape the future with confidence and develop answers for the most pressing issues of today and tomorrow.

EY teams work across a full spectrum of services in assurance, consulting, tax, strategy and transactions. Fueled by sector insights, a globally connected, multi-disciplinary network and diverse ecosystem partners, EY teams can provide services in more than 150 countries and territories.

At EY, we use artificial intelligence (AI) tools as one element of our recruitment process to enhance efficiency and improve the candidate experience. While AI supports us in our process, human judgment and decision-making remain integral in our candidate experience. We are committed to the responsible use of AI, and our practices are continuously reviewed and refined to ensure they align with ethical principles and regulatory requirements.