Data scientist

Company:
Location: Montréal, QC

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  • Do you enjoy carrying out complex and varied analyses, and performing diverse assessments in order to provide relevant decision-making information?
  • Do you like credit risk modeling and quantification?
  • Do you want to work with large databases and solve analytical problems?
  • Are you interested in understanding and improving Wholesale portfolio analytics?
  • Do you have good verbal and written communication skills, do you have a good command of SAS software, are you known for your analytical mind and ability to explain complex or abstract concepts?

Being a Senior Analyst – Credit Risk Models, Wholesale Analytics means contributing to modelling credit risks for the valuation of economic and regulatory capital. It also means taking on a leading role in portfolio analytics activities for disclosure purposes. It also means assisting management with strategic orientations.

You’ll stand out for your independence, rigour, and initiative.

Want to find out more?

This position reports to the Senior Manager – Wholesale Analytics.

Your main responsibilities:
  • Produce the Bank’s expected losses and economic credit capital using Moody's KMV software and SAS tools/models
  • Investigate, analyze and interpret portfolio-generated information to identify variations and make findings and recommendations
  • Develop and produce relevant variation and capital consumption analysis reports and present them to our business partners
  • Effectively standardize Moody's Risk Frontier software and our SAS tools/models, based on the reality of the Bank portfolio, by performing various quantitative analyses and statistical tests
  • Participate in various projects related to refining economic credit capital metrics or how it is used
  • Participate in the development of advanced models (PD, LGD and EAD)
  • Participate in external disclosure by producing and analyzing tables that synthesize Wholesale credit risk information


Qualifications:
  • Master's degree in financial engineering, econometrics, math or another related field with at least three years of relevant experience
  • Solid understanding of management concepts as well as credit risk metrics, in particular economic capital metrics
  • Experience in the development of advanced models (PD, LGD and EAD), an asset
  • Good writing skills (PowerPoint presentations, technical documentation)
  • Knowledge of the concepts and methodology of Moody's KMV Risk Frontier, an asset
  • Knowledge of consumer and business credit products, an asset
  • In-depth knowledge of SAS and a good ability to develop codes using these software
  • Ability to work under pressure within tight timeframes
  • Good interpersonal skills
  • Bilingualism, spoken and written (English/French) essential

The Bank has innovated by modernizing its performance evaluation system to better meet our clients’ evolving needs. From now on, the corporate values (expected behaviours) of partnership, agility and empowerment count as much as the business objectives.

Working at National Bank means having access to competitive working conditions, a wide range of employee benefits, a dynamic work environment and telemedicine services.

National Bank values all aspects of diversity and sees it as a tremendous source of wealth. We want to offer an open, respectful work environment where all employees can achieve their full potential. Senior management has made a concrete commitment to promote this value across all sectors of the organization. We're committed to providing accommodations as needed and ensuring accessibility during the recruitment process and after hiring. If you have any specific needs, please let us know during our initial conversation and we'll be happy to accommodate you.

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