• The Senior Analyst, MCG will support the Manager, MCG in model governance areas.
• Develop new OSFI back-testing reports for the non-retail credit risk parameters PD, LGD, and EAD.
• Work with various stakeholders in Credit Risk, Finance, Technology, and Model Development to establish specifications, collect the necessary data, and produce the necessary reports.
• Draft and maintain project documentation and related production process documents.
• Perform data controls on a quarterly basis, identifying and resolving data issues with data providers, and maintaining the processes in Excel, VBA, and SAS.
• Conduct quarterly regulatory back-testing and financial statement reporting for the non-retail credit risk parameters, and carry out investigations and analyses into potential limit breaches
• Assist with other Model Governance deliverables as needed.
• Excellent team player with demonstrated ability to work effectively with others to deliver on time
• Strong interpersonal, verbal and written communication skills
• Good understanding of trading risk and valuation model methodologies and derivatives products
• Strong data analysis, problem solving, and programming skills.
• Proficient in Word, Excel, PowerPoint, Access and VBA
• Experience with SAS and R is an asset
• Occasional overtime may be required
• Solid quantitative skills with a degree in Finance, Economics, Engineering, Business Administration, or related field; FRM or CFA designation an asset
• 2+ years of Senior Analyst full time experience
• Strong problem Skills
• MS excel and VBA (must know coding in VBA)- 2+ years
Nice To Have
• Risk Management experience
• Experience with SAS and R
• FRM or CFA designation
• Waterloo graduates from the Financial Analysis and Risk Management program with co-op experience