Senior Consultant - Credit Risk Modelling

Ernst & Young Advisory Services Sdn Bhd; Toronto; On-site; CAD 110,000 - 150,000; Full time

Benefits offered by this job

$5,000 per year for mental health

Wellbeing benefit of $1,200/year

Job summary

EY is seeking a Senior Consultant for its Financial Services Risk Management practice in Toronto or Montreal. The role focuses on developing and validating credit risk models (PD, LGD, EAD, ECL) and on implementing capital management frameworks within a dynamic advisory environment.

You will contribute to risk transformation programs, regulatory changes, and client engagements across Canada, with opportunities for skill growth through EY educational programs and cross‑functional collaboration.

Qualifications

• Minimum 2 years in credit risk model development or validation at a financial institution or consulting firm.
• Master’s degree in quantitative fields such as Finance, Economics, Mathematics, Statistics or Engineering.
• Significant experience programming in languages like Excel, SAS, SQL, R and Python.
• Knowledge of Basel II/III and IFRS 9 regulatory requirements.
• Experience with PD, LGD, EAD, and ECL models and related methodologies.

Responsibilities

• Development and validation of credit risk models (PD, LGD, EAD, ECL).
• Design and implement capital management frameworks and lending strategies.
• Participate in risk transformation programs related to regulatory changes or mergers/acquisitions.

Skills

Credit risk modelling

Quantitative analytics

Regulatory knowledge

Communication skills

Team collaboration

Education

Master's degree in quantitative field

Tools

Excel

SAS

SQL

R

Python

Job description

Location: Toronto

Other locations: Primary Location Only

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.

Your key responsibilities

As aSeniorConsultantin the FSRMteam, you will beleading or supporting EY services in the market throughbusiness development,engagementplanningand high-qualityengagementexecution.Leveraging your strong technicalexpertise, you will offer professional advice to clients across a broad spectrum of situations.You will be working onengagementsrelating to:

• Development and validation of credit risk models (e.g.AIRB, IFRS 9,stress testing)based onindustry best practices and regulatory requirements
• Design, optimizationand implementation ofcapitalmanagementframeworks and lendingstrategies(ICAAP, risk appetite limits, lending processes)
• Participate inrisktransformation programs related toregulatory changesormerger-acquisitions(climate riskframeworks,OSFI applications,resolution of regulatory findings)

Youwill betakingpart in EY educational programsto continuously develop skillsanddeveloping andmaintainingproductive relationships with clients.

Skills and attributes for success

• Practical experience inmodeling techniquesapplicable tocredit risk models such as PD, LGD, EAD or ECL models
• Strong quantitative skills in dataanalyticsand modellingincl. artificial intelligence and machine learning techniques
• Good knowledge of the banking industry andtheir 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 topicsand proficiency in the use of PowerPoint, Word and Excel
• Willingness to work in teamboth virtually and onsite, and ability to travelacross Canada to meet with clients (rare)

To qualify for therole,you must have

• Minimum 2years of relevant experiencewithin a credit risk model developmentor model validation team at a major financial institutionorin aconsultingfirm
• Strong academic background with aMaster’sdegree inquantitativefieldsuch asFinance, Economics,Mathematics, Statistics orEngineering(equivalent education and/or experience may also be considered)
• Significantexperienceand proven ability to program in pertinent languages, such as Excel, SAS, SQL, R, andPython.
• Knowledge of credit risk regulatory requirements (Basel II, BaselIIIandpost-crisis regulatory reforms) and accounting standards (IFRS 9)
• Knowledge or experience of credit risk modelsand methodologies: measurement methodologies (PD,LGDand 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.)isconsidered an asset
• Self startingattitude, an ability to think out of the box andbedriven by new challenges

What we look for

Ifyou’rea natural leader with a talent for answering and communicating complex client problems,we’reinterested in you.You’llneed 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.

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.

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.

To all recruitment agencies: EY does not accept unsolicited resumes from recruitment agencies. Any resumes submitted without a prior agreement or request from our hiring team will not be considered. EY is not responsible for any fees related to unsolicited resumes.

EY refers to the global organization, and may refer to one or more, of the member firms of Ernst & Young Global Limited, each of which is a separate legal entity. Ernst & Young Global Limited, a UK company limited by guarantee, does not provide services to clients.