CCR Model Validation Consultant

OVERVIEW

The CCR Model Validation Consultant will play a critical role in validating Counterparty Credit Risk (CCR) models and assessing model risk to ensure their appropriateness, robustness, and fitness for use within the CCR Replacement Project portfolio. This position involves providing independent and effective challenge throughout the model development and implementation phases, while communicating validation outcomes and model use decisions to business stakeholders to promote transparency and understanding of model capabilities and risks.

The ideal candidate will possess a strong quantitative background, with experience in quantitative modeling within the financial industry. They will be adept at collaborating with various stakeholders, utilizing strong analytical and problem-solving skills to influence and negotiate effectively. A data-driven decision-making approach is essential, along with the ability to work independently and handle non-routine situations.

Location: Toronto, ON (Hybrid)

Contract Length: 2 years

Hours: 9am-5pm ET

Pay: T4: $62-66 / IC: $72-76

RESPONSIBILITIES

• Act as a trusted advisor to assigned business/group, influencing and negotiating to achieve business objectives.
• Recommend and implement solutions based on thorough analysis of issues and implications for the business.
• Assist in the development of strategic plans and identify emerging issues and trends to inform decision-making.
• Conduct independent analysis and assessment to resolve strategic issues and support the execution of strategic initiatives in collaboration with stakeholders.
• Represent the model validation program for internal and external regulatory audits and examinations.
• Build change management plans and lead various change management activities, including readiness assessments and stakeholder management.
• Lead the research and development for validation of new types of models, integrating monitoring, measurement, and reporting of the model validation program status.
• Develop validation strategies and plans to ensure appropriate vetting of models is carried out.
• Independently validate and test models against established standards, assessing data for model development and comparing validation results with model developer results.
• Identify deficiencies and conditions for model use, recommending changes and escalating as required.
• Provide technical advice and guidance on the implementation of the model vetting framework and resolution of model risk issues.
• Develop and maintain in-depth knowledge of business and related risk management requirements and regulatory directives.
• Build effective relationships with internal and external stakeholders, ensuring alignment among them.
• Monitor and track performance, addressing any issues that arise.
• Coordinate and monitor the review and sign-off of model validation reporting, including model inventory and attestations.
• Provide specialized consulting, analytical, and technical support, exercising judgment to identify and solve problems.

QUALIFICATIONS

• Master's degree or Ph.D. in Mathematics, Mathematical Finance, Statistics, Engineering, or a similarly strong quantitative field.
• Typically 3 to 5 years of relevant experience in quantitative modeling within the financial industry, particularly with Market Risk/CCR models.
• In-depth knowledge of calibration, valuation, and risk factor/pricing proxy is preferred.
• Strong understanding of regulatory requirements related to model validation.
• Exceptional programming skills, with proficiency in relevant programming languages.
• Excellent verbal and written communication skills, with the ability to convey complex information clearly.
• Strong collaboration and teamwork skills, with a proven ability to work effectively in a team environment.
• Advanced analytical and problem-solving skills, with a focus on data-driven decision-making.
• Influencing skills to effectively negotiate and achieve business objectives.

TECHNICAL SKILLS

• Proficiency in programming languages such as Python and C#.
• Experience with the Adaptiv Vendor system is preferable.

PREFERRED

• Previous experience in the financial industry, particularly with BMO.

We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, disability status, or other non-merit factor. We are committed to creating a diverse and inclusive environment for all employees.

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