Senior Quantitative Risk Specialist - Credit Risk Modelling

Senior Quantitative Risk Specialist - Credit Risk Modelling

Location: Help Headquarters

Job Type: Full Time Regular

myWork Program: Hybrid

Starting Salary Range: $82,900.00 - $118,000.00

The role is hybrid remote, with occasional in‑office attendance based on business needs.

Job Purpose

The Senior Quantitative Risk Specialist leads the development, implementation readiness, validation support, and ongoing monitoring of credit risk models, with primary focus on commercial credit scorecards, commercial risk rating models, Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models for commercial lending portfolios. The role supports the modernization of the commercial risk rating system and expected loss analytics by building transparent, well‑documented, and fit‑for‑purpose models aligned with Coast Capital’s internal policies, model risk management standards, regulatory expectations, and stakeholder needs.

Accountabilities

• Lead the development, calibration, testing, documentation, monitoring, and enhancement of PD, LGD, and EAD credit risk models, with primary focus on commercial credit scorecards and commercial portfolio risk rating models.
• Develop and execute commercial model build activities, including data foundation, segmentation, default logic, methodology design, calibration, parallel run support, validation remediation, implementation readiness, and transition to ongoing monitoring and governance.
• Prepare model documentation, monitoring reports, validation responses and issue remediation materials, and presentations for senior management and governance committees.
• Support IFRS 9/ECL, stress testing, and expected loss model analysis involving PD, LGD, EAD, recovery data, loss data, assumptions, recalibration, and portfolio-level insights.
• Collaborate with stakeholders across Credit Risk, Lines of Business, Model Validation, Finance, Technology and Commercial Lending teams to ensure models are explainable, governed, and fit for business use.
• Support ongoing monitoring, performance assessment, recalibration, and enhancement of commercial risk rating models following implementation.

Skills & Qualifications

• 4–6+ years of experience in credit risk modelling, quantitative analytics, model development, validation, or related financial risk disciplines.
• Strong knowledge of PD, LGD, EAD, IFRS 9/ECL, stress testing, commercial credit scorecards, risk rating methodologies, and model governance.
• Hands‑on experience with credit risk scorecards development and risk rating models and systems.
• Advanced Excel, Python, and SQL skills.
• Strong analytical, communication, documentation, stakeholder management, and problem‑solving skills.
• Ability to communicate technical concepts effectively to both technical and non‑technical audiences.
• Bachelor’s degree in a quantitative field such as mathematics, statistics, finance, economics, computer science, engineering, actuarial science, data science, or a related discipline required.
• Direct experience developing commercial credit scorecards or commercial risk rating systems is preferred.
• Experience with commercial lending portfolios, including commercial real estate, business lending, operating lines of credit, or mid‑market lending, is considered an asset.
• Experience with Git, SharePoint‑based version control, data pipelines, cloud platforms, or big‑data environments is considered an asset.
• Working knowledge of OSFI regulatory requirements and IFRS 9/ECL guidance.
• Master’s degree and FRM, PRM, or similar designation preferred.

Background Screening Requirement

• Enhanced Criminal Record Check
• Credit Check
• Identity Verification
• Employment Verification
• References

Equity, Diversity & Inclusion

Coast Capital is committed to equity, diversity, and inclusion. We strongly encourage applications from Indigenous Peoples, Black, and racialized persons, persons with disabilities, people of diverse sexual and gender identities and women.

Benefits

• Comprehensive, customizable benefits for you and your family.
• Retirement options including defined contribution or defined benefit pension plans or RSP’s.
• Mortgage and auto financing benefits; employees save thousands on their mortgages and auto loans with best‑in‑category benefits.
• Company contributes $10 for every hour you volunteer to a Canadian charity or non‑profit of your choice.

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