Senior Quantitative Analyst, Model Quantification

Company Name: CIBC

Job Contact: Apply on company website

Contact Email: N/A

Job Location: Toronto, CA

Date: 8/15/2017

Job description
CIBC is a leading Canadian-based global financial institution. Through our three major businesses – Retail and Business Banking, Wealth Management and Capital Markets – we provide a full range of financial products and services to 11 million individual, small business, commercial, corporate and institutional clients in Canada and around the world. We invest in our businesses, our clients, our people and our communities to deliver consistent and sustainable earnings to our shareholders. To learn more about CIBC’s Lines of Business, please visit our website.CIBC delivers access to career and development opportunities, safe and healthy workplaces, effective training, and positive work-life balance – so that employees are able to perform at their best, contribute to their communities and focus on cultivating deeper relationships with our clients.Every year, CIBC is recognized for its business success, community commitment and employee initiatives. We are proud of this success and are committed to creating an inclusive workplace and an environment where all employees can excel.To learn more about CIBC and the CIBC Group of Companies please visit CIBC.com.The management of risk is a fundamental element of the Bank’s objective of consistent and sustainable performance over the long term. To support that goal, the Enterprise Risk Management group performs several functions including but not limited to: risk appetite, board and senior management reporting, strategic risk analytics, credit portfolio management, capital (regulatory and economic) analytics and reporting, specific loan loss and collective allowance provisioning, credit risk analytics, risk policies, risk rating methodology (wholesale and small business), and model validation.The Model Quantification (MQ) group reports to the Senior Vice-President, Enterprise Risk Management, Risk Management. The group is responsible for the design, development, documentation, implementation and monitoring of credit risk quantification parameters and models used in calculation of Regulatory and Economic Capital for the Wholesale and Retail portfolios. In addition, MQ’s mandate includes the design, development, documentation; implementation and monitoring of credit stress testing models and allowance provisioning models, as well as risk rating methodologies used in the non-scored portfolios.
Job Overview
Reporting to the Senior Director, MQ, the incumbent in this role will be apart of a team responsible for Risk Rating Model design, quantification and monitoring; development, enhancement and implementation of risk quantification methodologies for the parameters used in the calculation of regulatory and economic capital in the wholesale portfolios and back-testing methodologies.
What You’ll Be Doing
  • Design and implementation of ongoing monitoring/validation protocol for existing risk rating models, including tracking and analyzing model over-rides.
  • Ensure that models are successfully implemented in production systems.
  • Perform ongoing back-testing of the parameter estimates used in the calculation of regulatory and economic capital.
  • Support MQ in collecting and interpreting the data for model development; ensuring that data is reliable and robust. Data is the critical element in ensuring model accuracy and enabling development efficiencies.
  • Assist with the design and development of Risk Rating Models through the use of statistical and non-statistical methods.
  • Responsible for full documentation of monitoring/back-testing processes and results.
  • Ensure all models are compliant and consistent with both external (Basel) and internal policies and procedures.
  • Keep abreast of advances in credit risk analytics developments, products and applications by vendors, consultants, regulatory agencies. Recommend appropriate enhancements.
  • Ad-hoc credit risk projects.
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