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.