Model Risk Senior Analyst

Job Description

The Senior Analyst, Model Validation is a member of the Group Model Risk Management team, which is responsible for validating models related to economic capital, Asset Liability Management (ALM), and Global Variable Annuity Hedging. Reporting to the Director of Model Risk Management, this position is based in the Toronto Head Office.

Position Responsibilities:

– Assess the model’s adequacy and appropriateness for stated objectives and assumptions, general practice, and company policies.

– Ensure submitted models are mathematically sound, follow industry standards, are implemented correctly, and perform adequately. Conduct independent research and develop benchmark models where needed.

– Evaluate potential model risks related to embedded assumptions vs. target applications and model implementation limitations, recommending risk mitigation measures as necessary.

– Document model validation outcomes and communicate findings to stakeholders and model risk leaders.

– Ensure business units comply with the Model Risk Policy, providing adequate documentation for independent validation and governing the entire model lifecycle.

– Participate in the model inventory process.

– Participate in ad-hoc projects as needed.

Required Qualifications:

– Master’s or PhD degree in a quantitative discipline (Math, Finance, Economics, Physics, Engineering, etc.)

– 3 years of experience in financial mathematics modeling with expertise in stochastic and other numerical techniques.

– Proficiency in quantitative modeling of interest rates, inflation, foreign exchange rates, equities, and commodities for derivative pricing and risk computation.

– Programming skills in VBA, C, SQL, MATLAB, or Python.

– Strong analytic, problem-solving, communication, and documentation skills.

– Proven organizational, team-building, and relationship-building abilities across business functions; team player.

Preferred Qualifications:

– Previous model validation experience.

Required skills

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