Senior Analyst, Model Risk Management
$65,850–$109,750 year
HybridToronto, Ontario, Canada or Montréal, Quebec, Canada
Job Summary
Assess model adequacy, appropriateness, and mathematical soundness for economic capital, ALM, and GVAH frameworks. Ensure submitted models follow industry standards, implement correctly, and perform adequately. Conduct independent research to develop benchmark models validating core analytics. Evaluate potential risks related to embedded assumptions and implementation limitations, recommending mitigation measures. Document validation outcomes, communicate findings to stakeholders, and ensure business unit compliance with the Model Risk Policy. Participate in the model inventory process and ad-hoc projects as needed.
Required Qualifications
- Master's or PhD degree in a quantitative discipline (Math, Finance, Economics, Physics, Engineering, etc.)
- 1 year or more of experience in financial mathematics modeling with expertise in stochastic and other numerical techniques
- Proficiency in quantitative modeling of interest rates, inflation, foreign exchange rates, equities, and commodities for derivative pricing and risk computation
- Strong programming skills in MATLAB, C++, VBA or Python
- Strong analytic, problem-solving, communication, and documentation skills
- Knowledge in financial derivative valuation
- Proven organizational, team-building, and relationship-building abilities across business functions; team player
- Bilingualism (English and French) is a strong asset
- If the successful candidate is in Québec, proficiency in both languages will be required to support clients from various provinces outside of Québec
Desired Qualifications
- Previous model validation experience
- CFA or FRM/PRM
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