Job Description

Candidate Profile Details:

• Years of experience: 1-5 years of exp (new grads)
• Reason for request/why opened: additional – workload
• % Interaction with Stakeholders: 25%
• Team Size: 9
• Project: ongoing project
• Selling Point of the position: good opportunity to get relevant exp in quantitative team
• How will performance be measured: accuracy of writing code and speed
• Best vs Average Candidate: graduate degree in quant discipline

Summary Of Day-To-Day Responsibilities:

• The NRMD 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:
o Develop PD, LGD and UGD models for DFAST, EWST, CECL and IFRS9 usage;
o Design econometric models to explore relationships between credit losses and the macroeconomic environment;
o Design mathematical and statistical algorithms to enhance existing models;
o Conduct applied research for credit risk modeling;
o Perform ad hoc analyses as required by management and other business partners;
o Participate in design, planning, implementation and testing of various modeling initiatives;
o Collaborate with non-retail teams and participate in cross-functional projects as needed;
o Produce and maintain well-articulated documentation on above;
o 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.

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