Senior Data Scientist Model Developement and Validation

National Bank of Canada; Richmond Hill; On-site; CAD 100,000 - 170,000; Full time

Benefits offered by this job

Health and safety program

Flexible banking benefits

Generous pension plan

Employee Share Ownership Plan

Employee and family assistance program

Preferred banking services

Community initiatives

Job summary

National Bank of Canada is seeking a Senior Data Scientist to advance IFRS 9 and stress testing models, support RWA and Economic Capital, and provide analytics to senior management.

You will backtest, calibrate models, monitor performance, and communicate insights while collaborating across governance and validation teams in a fast-paced banking environment.

Qualifications

• 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 with large enterprise data sets and data reconciliation.
• Knowledge with IFRS 9 and regulatory requirements.
• Familiarity with SAS, Python, MS Excel (VBA) or SQL.
• Analytical skills to identify risk drivers and communicate results clearly.
• Ability to work under pressure and meet deadlines.

Responsibilities

• Develop and recalibrate IFRS 9 and stress testing models for wholesale and retail portfolios; document data selection and methods.
• Conduct backtesting, monitor model performance, and propose model actions as needed.
• Stay current with modeling methodologies, tools, and regulatory requirements.
• Perform IFRS 9 ECL impact assessments for recalibration and data changes.
• Collaborate with IFRS 9 production team to implement model changes.
• Validate inputs/outputs for quality control and governance.
• Prepare materials for Model Validation, Model Governance, and Audit; ensure proper documentation.
• Provide in-depth IFRS 9 analyses and identify key drivers of ECL movements.
• Support ad-hoc IFRS 9 requests for stakeholders and senior management.
• Contribute to strategic risk initiatives by modeling potential losses and recommending risk limits.
• Demonstrate insight into client business and develop innovative value-creating solutions.

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

Education

Masters or PhDs in Financial Engineering, Finance, Economics, Statistics, Mathematics, Computer Science and Data Science

Tools

SAS

Python

MS 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.

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! What can you bring to our team?

Join us!