Data Scientist Credit Risk Models

Company:
Location: Montréal, QC

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  • Do you enjoy developing models and performing complex and varied analyses?
  • Do you have experience in credit risk modeling and have you mastered programming in SAS or SQL?
  • Are you looking to work with large databases and solve analytical problems in order to provide information relevant to decision-making?
  • Do you have good verbal and written communication skills and are you known for your analytical mind and your ability to explain complex or abstract concepts?

Being a Data Scientist, Credit Risk Models means acting as an expert in credit risk modeling in order to develop and roll out models intended to assess the credit risk of the Bank's individual and business clients. It involves applying rigorous statistical and financial analysis methods to large databases in order to find the risk factors used to quantify the credit risk associated with each borrower. It also involves tracking the performance of all existing models.

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

Want to find out more?

Your main responsibilities:

  • Develop PD, LGD and EAD regulatory models according to a rigorous, documented approach
  • Perform quantitative analysis of the Personal and Commercial Banking portfolio
  • Explain and defend the models developed to internal partners and regulatory authorities
  • Actively engage with IT partners and business lines to ensure the models developed are understood and implemented
  • Track the performance of models developed using recognized statistical measures (backtesting)


Qualifications:
  • Bachelor's degree in a related field (mathematics, statistics, econometrics, financial engineering, etc.) and 3-5 years of relevant experience or master's degree in a related field and 1-3 years of relevant experience
  • Experience in statistical and probabilistic modeling
  • Experience in developing credit risk models (PD, LGD and EAD), an asset
  • Good programming knowledge, preferably in SAS or SQL
  • Knowledge of the Basel Agreement and IFRS9, an asset
  • Initiative and discipline
  • Intellectual curiosity and the ability to learn and adapt
  • Good writing skills (technical documentation, PowerPoint presentations)
  • Bilingualism, spoken and written (English and French)

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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