Senior Credit Risk Modeling Consultant

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

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.