Sr. Credit Risk Modeler to redevelop a series of Stress models for a banking client

Position: Sr. Credit Risk Modeler

Duration: 6 -12 months with the opportunity to extend

Location: Hybrid (1-2 days a week on-site in DT Toronto) or Remote (Canada or USA).

Job Summary:

As a Credit Risk Modeler, you will play a pivotal role in the development of various stress testing wholesale and retail models over the next 12 months. The project aims to create advanced models that provide accurate Risk-Weighted Assets (RWA) and loss estimates under both Business-As-Usual (BAU) and stress scenarios. The focus will be on adequately predicting portfolio migration from quarter to quarter and over longer time horizons, a key driver for the new suite of Probability of Default (PD) models. Additionally, updates to Loss Given Default (LGD) and Exposure at Default (EAD) models are integral to the project.

Key Responsibilities:

• Develop and update stress testing models, ensuring accuracy in predicting portfolio migration over time and capturing the nuances of BAU and stress scenarios.
• Contribute to the redevelopment of models, primarily focused on the Canadian business, and subsequently, the second phase with a focus on the US business.
• Work on both redevelopment projects applying the new modeling framework and on new models for portfolios that require a more specialized approach.

Must haves:

• 5+ years of experience as a Credit Risk Modeler developing stress testing models for financial institutions.
• Expertise in real life predictive modeling and in regulatory modeling, particularly in the areas of portfolio migration, PD, LGD, and EAD.
• Familiarity with the Canadian and US banking landscape and regulatory requirements.
• Strong programming skills (e.g., Python, R, SAS) and proficiency in data manipulation and analysis.

Education:

• Advanced degree in Statistics, Mathematics, Machine Learning, or Physics.