Title: Risk Analyst I 
Duration: 12 Months
Location: Toronto, Ontario- Hybrid -  4 days a week in office

Summary of the role:
In this position, the successful candidate will be responsible for the development and ongoing support of PD, LGD, and EAD models used in the Advanced Internal Ratings Based (AIRB) framework for the bank's US and Canadian non-retail portfolios. These models are used to determine the Risk Weighted Assets (RWA) and Capital under Basel 3 regulation and OSFI's Capital Adequacy Requirements. Evolving data, regulatory requirements, and industry best practices means these models are frequently reviewed by the Non-Retail Model Development (NRMD) team and are often subject to stakeholder scrutiny.
 
Bank uses advanced statistical approaches and a multitude of programming languages in the modeling process so strong programming skills and a quantitative educational background are essential. The team employs techniques such as Monte Carlo simulation, bootstrapping, expected utility maximization, among others, in the development of these models so familiarity with these approaches is necessary.
The position reports to Senior Manager, Non-Retail Model Development with the following accountabilities:

• Perform key tasks associated with non-retail AIRB model development including model calibration, performance testing, data cleansing, investigating suitable modeling methodologies based on academic and industry literature.
• Support modeling activities through key stages of the model lifecycle, including model development and validation.
• Prepare detailed reports describing the statistical background of the selected model, rationalizing modelling choices, demonstrating model performance through testing performed and outlining compliance with applicable regulatory guidelines.
• Prepare management summaries highlighting key decisions made during development process, outlining key outcomes and opportunities for further enhancements.
• Stay current in knowledge of credit risk management methodologies, predictive modeling, and statistical analysis, as well as applicable regulatory guidelines.

Typical Day-to-Day Responsibilities:

• Daily touchpoint with Manager to discuss progress, issues, next step
• Conduct data analysis to support model development activities (portfolio segmentation, model backtesting and accuracy testing, benchmarking)
• Read, write, and execute code in multiple languages including SAS, Python, R, and C++
• Conduct literature review to identify modeling best practices for these portfolios
• Support ad hoc analyses and data investigation to support modeling work

Must Have Hard Skills: 

1. Quantitative – Math or related skills
2. Programming   (preferred SAS \ Python  or R )

Soft Skills:

1. Strong  written and verbal communication
2. Excellent work ethic and adaptable to changing priorities

Nice to have: 

1. Familiarity with credit risk models (commercial models, preferred)
2. Familiarity with quantitative finance modeling techniques commonly used in risk management (e.g. Merton Model, Vasicek Model)
3. Experience with C or C++

 
 
At SPECTRAFORCE, we are committed to maintaining a workplace that ensures fair compensation and wage transparency in adherence with all applicable state and local laws. This position’s starting pay is: $ 32.54/hr.