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Senior Data Scientist – Model Validation

Apply now Job ID 31050187280 Date posted 06/16/2022

Primary Locations: Montreal, Quebec

Attendance: Hybrid

Employee Status: Regular

Schedule: Full-time


A career in IT at National Bank means contributing to the Bank’s transformation and having a direct impact on clients. As a Senior Data Scientist, you will act as an expert advisor for all the stakeholders involved in the lifecycle of models and for management in making decisions needing expert opinions on quantifying and managing risk.

As part of Enterprise-Wide Risk Management at National Bank, the Model Validation and Model Risk Management Group identifies, measures and manages model risks across the Bank.

It is a unique opportunity to join a team looking for an enthusiastic and detail-oriented person with strong interpersonal and analytical skills.

We validate different types of models used by the Bank, in compliance with internal policies and regulatory requirements (including Basel Accords, OSFI E23, etc.):

  • Credit risk models: internal rating systems (PD, LGD, EAD), stress testing, ICAAP models and IFRS 9 models
  • Financial crime models
  • Advanced analytics and artificial intelligence models
  • Validation of technical, business and process metadata models underlying the creation of a data warehouse

More specifically, you will:

  1. Data warehouse
  • Evaluate the conceptual soundness of models for technical metadata (ETL, storage, presentation), business metadata and process metadata
  • Evaluate the architectural model, the conceptual data model, the conceptual process model, the logical data model and the logical process model
  • Verify compliance with the security standards in force within the Bank
  • Validate or carry out non-regression tests or other tests
  1. Risk management
  • Evaluate the conceptual soundness of the model (mathematical specifications, mathematical and statistical validity, limits, compliance with regulatory requirements, etc.)
  • Evaluate input data (data quality and relevance, relevant hypotheses, exclusions and outlier processing, model documentation, etc.)
  • Evaluate model precision and performance (model precision, robustness and stability, sensitivity analysis, model backtesting, benchmarking, impact analysis, etc.)
  • Identify model uncertainty and evaluate model risk
  1. Data warehouse and risk management
  • Document analyses, observations and conclusion in a validation report
  • Interact with stakeholders (for example, model developers/owners, governance committees and senior management)

Required skills:

  • A completed bachelor’s degree in Computer Science, Statistics, Actuarial Science, Finance, Mathematics or a related area of activity and 5 years of experience, or a completed master’s degree in Computer Science, Statistics, Actuarial Science, Finance, Mathematics or a related area of activity and 3 years of relevant experience
  • Sound knowledge of statistics
  • Strong knowledge of SAS Base, SAS EG, Python, Matlab, R software etc.
  • Excellent command of French (spoken and written), functional spoken English and strong English writing skills

Preferred skills:

  • Strong communication skills and ability to explain technical subjects in a clear and intuitive manner verbally and in writing
  • Good understanding and interpretation of Basel II (an asset)
  • Sound knowledge of the models used to estimate credit risk parameters (an asset)
  • Sound knowledge of ICAAP models and concepts (an asset)
  • Sound knowledge of IFRS 9 (impact on the calculation of provision levels) (an asset).

Your benefits

Upon hiring, you'll be eligible for a wide range of benefits. In addition to competitive compensation, we offer attractive benefits for you and your family:

  • Health and wellness program, including many benefits
  • Flexible group insurance
  • Defined benefit pension plan
  • Employee Share Ownership Plan
  • Employee and Family Assistance Program
  • Preferential banking services
  • Community involvement program
  • Telemedicine
  • Virtual sleep clinic
  • Possibility of working remotely and flexible work schedule

These are just some of the many benefits we offer.

People first

We’re a bank on a human scale that stands out for its courage, entrepreneurial culture, and passion for people. Our mission is to have a positive impact on people’s lives. Our core values of partnership, agility, and empowerment inspire us, and inclusivity is central to our commitments. We offer a barrier-free workplace that’s accessible to all employees.

We want our recruitment process to be fully accessible. If you require accommodation, feel free to let us know during our initial conversations. We welcome all candidates! What can you bring to our team?

Are you ready to live your ambitions?

#LI-EG1

#LI-Hybrid

JobField: Risk Management

Unposting Date: 2022-07-17

Job Number: RIS001A2

Posting Date: 2022-06-16

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