SUMMARY OF DAY-TO-DAY RESPONSIBILITIES:
The Risk Model Development group is hiring a Modelling/Forecasting Senior Analyst to develop, enhance, and implement credit risk models for non-retail portfolios. Detailed responsibilities are as follows:
• Develop PD, LGD and UGD models for DFAST, EWST, CECL and IFRS9 usage;
• Design econometric models to explore relationships between credit losses and the macroeconomic environment;
• Design mathematical and statistical algorithms to enhance existing models;
• Conduct applied research for credit risk modeling;
• Perform ad hoc analyses as required by management and other business partners;
• Participate in design, planning, implementation and testing of various modeling initiatives;
• Collaborate with non-retail teams and participate in cross-functional projects as needed;
• Produce and maintain well-articulated documentation on above;
• Write and maintain robust code for performing the above functions.
MUST HAVE:
• Strong background in data-driven statistical modeling, supervised learning, unsupervised learning and discriminative models.
Strong theoretical and numerical background.
• Programming experience in SAS, Python or MATLAB is strongly preferred.
• Knowledge of coding standards and object-oriented programming.
• Experience working with relational databases and SQL.
• Strong interest and ability to undertake applied research.
• Out-of-the-box thinker and enthusiastic in solving problems.
• Strong written and verbal communication skills.
• Ability to work in a multi-disciplinary team setting.
• Strong work ethic and adaptable to changing priorities.
EDUCATION
• Graduate degree in a quantitative field, such as Applied Econometrics, Economics, Mathematics, Statistics, Actuarial Science, Computer Science or Physics.