Senior Quantitative Analyst, Ifrs Stress Testing Models

CIBC Capital Markets

Toronto, Canada
Base: not specified; bonus/equity: not specified; ...
Hybrid
Ifrs 9 expected credit loss
Probability of default (pd)
Loss given default (lgd)
You will contribute to the design, development, documentation, implementation, use, and monitoring of forecasting & stress testing models for the Wholesale and Retail credit portfolios

Job Summary

  • You will contribute to the design, development, documentation, implementation, use, and monitoring of forecasting & stress testing models for the Wholesale and Retail credit portfolios.
  • You will estimate potential losses and regulatory capital requirements under forecasted/stress scenarios for the Wholesale and Retail portfolios.
  • CIBC offers a competitive salary, incentive pay, banking benefits, a benefits program, a defined benefit pension plan, an employee share purchase plan, a vacation offering, wellbeing support, and MomentMakers.

Matching Summary

You will contribute to the design, development, documentation, implementation, use, and monitoring of forecasting & stress testing models for the Wholesale and Retail credit portfolios.

Salary

Base: Not specified; Bonus/Equity: Not specified; Benefits: competitive salary, incentive pay, banking benefits, a benefits program, defined benefit pension plan, employee share purchase plan, vacation offering, wellbeing support

Skills & Requirements

Must-have

  • IFRS 9 Expected Credit Loss
  • Probability of Default (PD)
  • Loss Given Default (LGD)
  • Exposure at Default (EAD)
  • SAS statistical procedures
  • Credit risk quantification

Nice-to-have

  • Digitally savvy and adaptable
  • Innovative problem-solving
  • Communicating detailed information impactfully
  • Embracing evolving technologies

Key Requirements

  • M.Sc. or Ph.D. in quantitative field
  • Proficiency with SAS
  • Experience in credit risk quantification
  • Legally eligible to work in Canada

Work Rights

Legally eligible to work

Tailored Resume

Cover Letter