Senior Credit Risk Analytics Consultant

Ernst & Young Advisory Services Sdn Bhd; Montreal (administrative region); On-site; CAD 90,000 - 140,000; Full time

Benefits offered by this job

Mental health benefits

Job summary

EY's Financial Services Risk Management (FSRM) practice is seeking a Senior Consultant with banking modelling experience to join our team in Canada, in Toronto or Montreal. You will lead or support advisory engagements, develop credit risk models such as IFRS 9 and AIRB, and help design capital management frameworks.

Candidates bring 2+ years in credit risk modelling, a Master’s in quantitative fields, and programming skills in Excel, SAS, SQL, R or Python.

Qualifications

• Minimum 2 years in credit risk model development or validation at a financial institution or consulting firm.
• Master’s degree in quantitative fields (Finance, Economics, Mathematics, Statistics, Engineering).
• Proven ability to program in Excel, SAS, SQL, R, and Python.
• Knowledge of Basel II/III and IFRS 9 regulatory requirements.
• Familiarity with PD/LGD/EAD/ECL modelling approaches.

Responsibilities

• Develop and validate credit risk models (PD, LGD, EAD, ECL) per regulatory standards.
• Design and implement capital management frameworks (ICAAP, lending strategies).
• Participate in risk transformation programs and regulatory change projects.

Skills

Credit risk modelling

PD / LGD / EAD / ECL

Data analytics

AI / ML techniques

Regulatory knowledge

Communication skills

Office tools (PowerPoint / Excel /Word

Education

Master’s degree in quantitative field

Tools

Excel

SAS

SQL

R

Python

Job description

EY's Financial Services Risk Management (FSRM) practice is seeking a Senior Consultant with banking modelling experience to join our team in Canada, in Toronto or Montreal. You will lead or support advisory engagements, develop credit risk models such as IFRS 9 and AIRB, and help design capital management frameworks.

Candidates bring 2+ years in credit risk modelling, a Master’s in quantitative fields, and programming skills in Excel, SAS, SQL, R or Python.