Senior Consultant - Credit Risk Modelling

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The opportunity

EYs Financial Services Risk Management (FSRM) practice is an advisory unit that provides risk management support to banks, insurance companies and asset managers. Our team includes individuals who have a combination of qualitative, quantitative, regulatory and programming skills. We are seeking a Senior Consultant with modelling experience acquired in the banking industry or in consulting services to join our team. This position is available either in Toronto or Montreal, in latter case they must be able to work in English and French.

This job posting relates to an exis

Your key responsibilities

As a Senior Consultant in the FSRM team, you will be leading or supporting EY services in the market through business development, engagement planning and high-quality engagement execution. Leveraging your strong technical expertise, you will offer professional advice to clients across a broad spectrum of situations. You will be working on engagements relating to:

• Development and validation of credit risk models (e.g. AIRB, IFRS 9, stress testing) based on industry best practices and regulatory requirements
• Design, optimization and implementation of capital management frameworks and lending strategies (ICAAP, risk appetite limits, lending processes)
• Participate in risk transformation programs related to regulatory changes or merger-acquisitions (climate risk frameworks, OSFI applications, resolution of regulatory findings)

You will be taking part in EY educational programs to continuously develop skills and developing and maintaining productive relationships with clients.

Skills and attributes for success

• Practical experience in modeling techniques applicable to credit risk models such as PD, LGD, EAD or ECL models
• Strong quantitative skills in data analytics and modelling incl. artificial intelligence and machine learning techniques
• Good knowledge of the banking industry and their risk management regulatory framework
• Strong communication, presentation, and technical writing skills to describe ideas, concepts and issues that involve interpretation, analysis, and assessment of complex conceptual topics and proficiency in the use of PowerPoint, Word and Excel
• Willingness to work in team both virtually and onsite, and ability to travel across Canada to meet with clients (rare)

To qualify for the role, you must have

• Minimum 2 years of relevant experience within a credit risk model development or model validation team at a major financial institution or in a consulting firm
• Strong academic background with a Masters degree in quantitative field such as Finance, Economics, Mathematics, Statistics or Engineering (equivalent education and/or experience may also be considered)
• Significant experience and proven ability to program in pertinent languages, such as Excel, SAS, SQL, R, and Python.
• Knowledge of credit risk regulatory requirements (Basel II, Basel III and post-crisis regulatory reforms) and accounting standards (IFRS 9)
• Knowledge or experience of credit risk models and methodologies: measurement methodologies (PD, LGD and EAD), retail credit risk scorecards and wholesale rating models

Ideally, youll also

• Consulting, stress testing, or regulatory experience, or accounting/control function experience
• Experience in a capital management (ICAAP, regulatory capital, economic capital, etc.) is considered an asset
• Self starting attitude, an ability to think out of the box and be driven by new challenges

What we look for

If youre a natural leader with a talent for answering and communicating complex client problems, were interested in you. Youll need to be great at influencing people, ready to listen and confident in challenging the status quo. If you have a genuine passion for helping businesses address their most pressing problems, this role is for you.

What we offer

When you thrive, we thrive. The EY benefits package goes above and beyond, focusing on your physical, emotional, financial and social well-being:

• $5,000 per year for mental health support benefits
• Wellbeing benefit of $1,200/year

EY reports salary ranges in accordance with applicable provincial pay transparency legislation. Individual salaries within the anticipated salary ranges noted below are determined through a wide variety of factors including but not limited to internal equity, education, relevant experience, knowledge, and applicable skill sets.

• Toronto: $88,000 to $132,000

Explore how a career at EY is yours to build at https://www.ey.com/en_ca/careers/personalized-career-development

Discover how, when and where you can work at https://www.ey.com/en_ca/careers/flexibility-mobility

Are you ready to shape your future with confidence? Apply today.

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