Senior Credit Risk Modeling Consultant (FSRM)

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

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.