Senior Data Scientist Model Developement and Validation

National Bank of Canada; Richmond Hill; On-site; CAD 110,000 - 150,000; Full time

Benefits offered by this job

Health and wellness program

Flexible group insurance

Generous pension plan

Employee Share Ownership Plan

Employee and family assistance program

Preferential banking services

Community initiatives

Telemedicine service

Virtual sleep clinic

Job summary

National Bank of Canada seeks a Senior Data Scientist for the Credit Risk Analytics team to lead IFRS 9 model development, ECL impact assessments and stress testing for wholesale and retail portfolios. You will document methodologies, backtest performance, and collaborate with validation and audit teams to ensure robust governance.

You will monitor model performance, stay current with regulatory requirements, and provide deep analyses for senior management while supporting ad-hoc IFRS 9 requests

Qualifications

• Master’s or PhD in a relevant field (e.g., Financial Engineering, Finance, Economics, Statistics, Mathematics, CS, Data Science).
• 2–3 years of professional experience in quantitative model development or validation for retail or wholesale credit risk.
• Hands-on experience in managing, reconciling, and interpreting large and complex enterprise level data sets.
• Knowledge of IFRS 9 and regulatory requirements.
• Hands-on experience with SAS, Python, MS Excel (VBA) or SQL.
• Excellent analytical skills and ability to communicate results clearly.
• Ability to work under pressure and meet tight deadlines.
• CFA and/or FRM completion/progression would be an asset.
• SAS certification would be an asset.

Responsibilities

• Develop and recalibrate IFRS 9 and stress testing models for the Bank’s wholesale and retail portfolios. Document data selection, modeling techniques and implementation.
• Backtest models, monitor performance and propose actions as needed.
• Stay up-to-date with modeling methodologies, tools and regulatory requirements.
• Conduct IFRS 9 ECL impact assessments for recalibration and data migrations.
• Collaborate with IFRS 9 production team to implement model changes.
• Validate inputs/outputs for quality control and governance.
• Prepare materials for Model Validation, Governance, and Audit and address questions.
• Provide in-depth IFRS 9 results analysis and explain key drivers of ECL movements.
• Support ad-hoc IFRS 9 requests for stakeholders and senior management.
• Contribute to strategic risk initiatives by projecting potential losses and proposing risk limits.
• Develop innovative solutions to create value for internal clients.

Skills

IFRS 9

Credit risk modeling

Python

SAS

SQL

Data analysis

Regulatory knowledge

Education

Master's or PhD in Financial Engineering/Finance/Economics/Statistics/Mathematics/Computer Science/Data Science

Tools

SAS

Python

Excel (VBA)

SQL

Job description

As a Senior Data Scientist in the Credit Risk Analytics team at National Bank, you’ll be responsible for the IFRS 9 and stress testing model development and performance monitoring, as well as IFRS 9 reporting and analytics. This role will also need to support other closely related risk functions that includes RWA, Economic Capital and stress testing. With your experience in credit risk modeling , strong analytical skills , and knowledge of IFRS 9 and regulatory requirements , you’ll have a positive impact on NBC’s credit risk management through building advanced models, efficient and robust risk processes and providing insightful analyses to our senior management .

Your role:

• Develop and recalibrate IFRS 9 and stress testing models for the Bank’s wholesale and retail portfolios. Document the data selection, modeling techniques and implementation.
• Conduct model backtesting, monitor model performance and propose appropriate model actions when necessary.
• Keep abreast of up-to-date modeling methodologies, tools and regulatory requirements.
• Conduct IFRS 9 ECL impact assessment for parameter recalibration, economic scenario change, model updates, data migration and process changes.
• Work with IFRS 9 production team to implement and test IFRS 9 model changes.
• Validate the process inputs and outputs for quality control and governance.
• Collaborate with Model Validation, Model Governance, Audit by preparing supporting materials, addressing questions and concerns, and ensuring IFRS 9 model changes are appropriately documented and understood.
• Provide in-depth analysis on IFRS 9 results and identify key drivers for ECL movements.
• Provide support for ad-hoc requests required by IFRS 9 stakeholders and senior management in a precise and efficient manner.
• Contribute to strategic risk initiatives by using analytical skills to project potential losses and make recommendations to limit risk.
• Demonstrate insight into internal client's business and develop innovative solutions that create value.

Your team:

As part of the Credit Risk Analytics sector, you’ll be on a team of 24 of colleagues and you’ll report to the Senior Director – Analytics. Our team stands out for expertise in model development, model implementation and risk reporting in IFRS 9, stress testing and capital areas. As some processes are part of the Bank’s month-end or quarter-end reporting to the public or to the regulators, we may work under tight deadline and pressure sometimes.

We offer a wide range of ongoing learning opportunities for your development, including coaching, hands-on learning, training courses and through the collaborating with colleagues who have varied expertise and profiles such as in-depth data analytics, model development, risk programming and presentation to senior management.

Prerequisites:

• Masters or PhDs in a relevant field such as Financial Engineering, Finance, Economics, Statistics, Mathematics, Computer Science and Data Science.
• Minimum 2-3 years of professional experience in quantitative model development or validation for retail or wholesale credit risk.
• Hands-on experience in managing, reconciling, and interpreting large and complex enterprise level data sets.
• Knowledge with IFRS 9 and regulatory requirements.
• Hands-on experience with SAS, Python, MS Excel (VBA) or SQL.
• Excellent analytical skills to identify the causes of risk changes and impact to business and strategy.
• Ability to effectively communicate the analysis and explain the results in a simple and concise way.
• Strong attention to details and the ability to understand the big picture.
• Demonstrated ability to work under pressure and tight deadline.
• Exceptional critical thinking skills, learning skills and ability to work independently with limited guidance.
• Completion or progression in CFA and/or FRM would be an asset.
• Completion of SAS certification would be an asset.
• Completion of SAS certification would be an asset.

Languages: English

Required skills: Analytical thinking, Artificial Intelligence, Business Acumen, Communication, Data pipeline, Data-Driven Decision-Making, Detail-oriented, Exploratory Data Analysis, Initiative, Learning Agility, Prioritization, Python, Resiliency, Self-Sufficiency, Teamwork

Your benefits

• Health and wellness program, including many options
• Flexible group insurance
• Generous pension plan
• Employee Share Ownership Plan
• Employee and family assistance program
• Preferential banking services
• Involvement in community initiatives
• Telemedicine service
• Virtual sleep clinic

We have an offer that keeps up with trends as well as your needs and those of your family.

Our dynamic work environments and cutting-edge collaboration tools foster a positive employee experience. We value employees’ ideas. Whether through our surveys or programs, regular feedback and ongoing communication are encouraged.

Making a bold move in a people‑first environment

We’re a bank on a human scale that stands out for its courage, entrepreneurial culture, and passion for people. Our mission is to have a positive impact on people’s lives. Our core values of partnership, agility, and empowerment inspire us, and inclusion is central to our commitments. We aim, wherever possible, to provide a barrier‑free and accessible environment to all employees.

We strive to provide accessibility measures throughout the recruitment process within the limits of our available resources. If you require accommodations, feel free to let us know during our initial conversations. We welcome all candidates!

Join us!