Manager - Model Validation

• Validate models across AML, treasury, and credit risk, including transaction monitoring, customer risk rating, ICAAP stress testing, interest rate risk, liquidity, IFRS 9, and AIRB.
• Review model documentation, assumptions, methodology, data, implementation, and performance.
• Run outcome, sensitivity, scenario, and benchmark testing, mainly in Python.
• Write validation reports that identify limitations, define the model's effective range of use, and assess model risk under the Bank's Model Risk Management Framework.
• Give model developers practical, independent feedback, focusing on the issues that matter.
• Support governance work such as annual attestations, model inventory tracking, and risk reporting.

What you bring

• Experience validating or developing AML models. This is the top priority for the team.
• Exposure to treasury or credit risk models. Treasury, ICAAP, and stress testing experience is a strong plus.
• A Master's in a quantitative field. A mathematics or mathematical finance background is preferred. A PhD is an asset.
• Model development experience, alongside or before validation, is a strong asset.
• Strong Python skills. MATLAB is a plus.
• Familiarity with OSFI's Capital Adequacy Requirements (CAR) and IFRS 9 is an asset.
• Insurance modelling experience is an asset.
• The ability to explain complex concepts clearly to both technical peers and management.

Two rounds: a technical interview with a director, then a conversation with the VP, Model Risk Management.

What you'll do

• Validate models across AML, treasury, and credit risk, including transaction monitoring, customer risk rating, ICAAP stress testing, interest rate risk, liquidity, IFRS 9, and AIRB.
• Review model documentation, assumptions, methodology, data, implementation, and performance.
• Run outcome, sensitivity, scenario, and benchmark testing, mainly in Python.
• Write validation reports that identify limitations, define the model's effective range of use, and assess model risk under the Bank's Model Risk Management Framework.
• Give model developers practical, independent feedback, focusing on the issues that matter.
• Support governance work such as annual attestations, model inventory tracking, and risk reporting.

What you bring

• 3+ years in quantitative modelling or model validation in financial services (5 preferred).
• Experience validating or developing AML models. This is the top priority for the team.
• Exposure to treasury or credit risk models. Treasury, ICAAP, and stress testing experience is a strong plus.
• A Master's in a quantitative field. A mathematics or mathematical finance background is preferred. A PhD is an asset.
• Model development experience, alongside or before validation, is a strong asset.
• Strong Python skills. MATLAB is a plus.
• Familiarity with OSFI's Capital Adequacy Requirements (CAR) and IFRS 9 is an asset.
• Insurance modelling experience is an asset.
• The ability to explain complex concepts clearly to both technical peers and management.

Interview process

Two rounds: a technical interview with a director, then a conversation with the VP, Model Risk Management.

Disclaimer:

AI may be used in evaluating candidates.

This posting is for an existing vacancy.

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