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 as well as
• Advanced analytic and artificial intelligence models

Main responsibilities:

• 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
• 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 Statistics, Actuarial Science, Finance, Mathematics or a related area of activity and 5 years of experience, or a completed Master's degree in Statistics, Actuarial Science, Finance, Mathematics or a related area of activity and 3 years of relevant experience
• Sound knowledge of statistics
• Sound knowledge of the models used to estimate credit risk parameters
• Sound knowledge of ICAAP models and concepts
• Sound knowledge of IFRS 9 (impact on the calculation of provision levels)
• Good understanding and interpretation of Basel II
• Strong knowledge of SAS Base, SAS EG, Python, Matlab, R software etc.
• Bilingualism, both spoken and written (English and French)

Preferred skills:

• Knowledge of and/or interest in financial crime risk and artificial intelligence (AI)
• Strong communication skills and ability to explain technical subjects in a clear and intuitive manner verbally and in writing

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
• Pension plan
• Employee Share Ownership Plan
• Employee and Family Assistance Program
• Preferential banking services
• Community involvement program
• Telemedicine
• Virtual sleep clinic

These are just some of the many benefits we offer. Due to the current pandemic, our entire team is working remotely. We’ve also rolled out several additional measures to ensure your health, safety, and wellbeing during the pandemic