Data Scientist, Model validation

Role Overview

Desjardins Group uses a wide range of data-driven quantitative models to support its product and service offer and to effectively manage risk, with the goal of always doing what’s best for members and clients. While these models provide indisputable decision-making support, their use leads to further risks that must in turn be analyzed, assessed and mitigated. As a data scientist, model validation, you help ensure that data is appropriately valued at each stage of the model’s life cycle. You help make business decisions, develop solutions and services tailored to business issues and interpret member/client behaviour. In this respect, you check that the validation programs in place are properly applied to ensure that the models comply with all quality criteria used by Desjardins Group. You make recommendations on the development and use of models with a high degree of operational and conceptual complexity, using your analytical skills and comprehensive, in-depth understanding of your line of business and the organization. The primary focus will be on models used in market risk, interest rate risk and liquidity risk management.

Responsibilities

• Ensure that modelling processes make appropriate use of available data based on characterization, quality and processing as part of strategic initiatives
• Ensure that predictive modelling is carried out according to the required standards and that Desjardins Group’s quality criteria are met through the validation process
• Analyze the business needs behind the model and confirm the model’s suitability through validation
• Ensure that the programming required to prepare and mine data, and to develop, evaluate, support, roll out and manage highly conceptually complex and innovative models meets the required standards
• Use advanced and innovative statistical, machine learning and artificial intelligence methods to test the methodologies proposed by the first line of defence
• Help draft guidelines and methods and shape methodological and technological choices, advise and train teams on quantitative model validation methods and update them to improve delivery speed
• Identify opportunities to optimize rules and systems, anticipate underlying impacts of changes and help develop data management and modelling support tools
• Represent teams with various internal interested parties
• Monitor the industry to understand and anticipate trends in your field of expertise in model validation, with a view to developing and updating practices that are contextually appropriate for the organization.

Qualifications

• Bachelor's degree in a related field
• A minimum of six years of relevant experience (other combinations of qualifications and relevant experience may be considered)
• Knowledge of French is required
• Expertise in mathematical modelling and statistics
• Proficiency in risk management models in at least one of the following areas:
• Market risk: Pricing models (BSM, Heston, Hull‑White, GSR, G2) for options, bonds, caps, swaps, swaptions and credit products, as well as VaR and SVaR models, economic capital calculations and stress testing using RiskMetrics and Python
• Interest rate risk: Risk‑weighted Net Interest Income (NII), gap analysis, modified and effective duration, convexity analysis and Economic Value of Equity (EVE)
• Liquidity risk: Prepayment models, Liquidity Coverage Ratio (LCR), Net Cumulative Cash Flow (NCCF), economic capital calculations and stress testing using QRM and Python
• Knowledge of the banking industry
• Knowledge of Basel regulations
• Knowledge of programming: C++, SQL, Python, MATLAB, VB, SAS

What we offer

• Competitive salary and annual bonus
• 4 weeks of flexible vacation starting in the first year
• Defined benefit pension plan that provides predictable, stable income throughout retirement
• Group insurance including telemedicine
• Reimbursement of health and wellness expenses
• Benefits apply based on eligibility criteria.

Equal Opportunity Employer

At Desjardins, we believe in equity, diversity and inclusion. We're committed to welcoming, respecting and valuing people for who they are as individuals, learning from their differences, embracing their uniqueness, and providing a positive workplace for all. At Desjardins, we have zero tolerance for discrimination of any kind. We believe our teams should reflect the diversity of the members, clients and communities we serve.

If there's something we can do to help make the recruitment process or the job you're applying for more accessible, let us know. We can provide accommodations at any stage in the recruitment process. Just ask!

Job Family

Data (FG)

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