Model Validation Advisor Model Risk Management Job

Job Overview

Location
Ottawa, Ontario
Job Type
Full Time
Salary / Compensation
$75,700 - $113,600 Per Year
Date Posted
2 months ago

Additional Details

Experience
Good Exp. Required (5 - 9 Years)

Job Description

EDC is seeking a Model Validation Advisor to join the Model Risk Management team. The Model Risk team is accountable for developing, maintaining, and improving the model risk management program at EDC. 

Reporting to the Manager, Model Risk Management, the Model Validation Advisor will primarily be focused on conducting independent end-to-end validation of a variety of Models used across the company. End-to-end Model Validation involves identifying key risks associated with a Model, planning a risk-based validation approach and scope, designing, implementing, and conducting validation tests, identifying gaps in Model governance, and drafting a Model Validation report. The Model Validation Advisor will also contribute as a subject matter expert on model risk practices and will assist in implementing the Model Risk Governance Framework at EDC.

The incumbent is expected to bring credible technical and business experience. This role also requires communication and interpersonal skills to engage and consult with business areas to find solutions adapted to EDC’s size, complexity, and specific mandate. 

Discipline Summary 

  • The role focuses on: 
    • Overseeing, conducting or advising on independent Model Validation;
    • Researching and reviewing external best practices, regulatory requirements, and the organization's risk appetite;
    • Developing Model Validation plans and carrying out the requisite activities;
    • Preparing Model Validation reports.
  • Researches and reviews external best practices and regulatory requirements to provide guidance on EDC’s Model Risk
  • Responsible for maintaining and implementing principles, practices, processes, and standards pertaining to EDC’s Model Governance Framework.

Key Responsibilities 

  • Develops understanding of the business, the business area and function that uses the Model, and the impact of the Model output on the business decisions;
  • Manages stakeholder relationships to ensure Model Validation findings and recommendations are appropriately informed by business purpose and context following a risk-based approach;
  • Ensures Model Validation activities are in compliance with the Model Risk Policy, standards, and guidelines.
  • Oversees, conducts, or advises on Model Validation activities as required.  
  • Ensures that Model stakeholders are aware of Model Risk Issues and Limitations identified during Model Validation.
  • Prepares Model Validation reports that details the validation scope, testing approach, test results, findings and conclusions;
  • Ensures that Model stakeholders are compliant with the Model Controls;
  • Engages Model Owners and Users to pro-actively identify, assess, monitor and manage Model Risk;
  • Acts as a corporate resource in the interpretation and classification of quantitative and qualitative factors in assessing Model Risk. 

Screening Criteria  

  • Undergraduate degree in Statistics, Actuarial Sciences, Mathematics, Computer Science, Finance within a quantitative discipline or related;
  • Knowledge of, and/or experience in at least one of the domains:
    • Insurance pricing and reserving;
    • PD, LGD and scoring models;
    • Expected Credit Losses models; 
    • Econometrics and economic forecasting;
    • Asset and portfolio management modeling;
    • Reserving, profitability, capital, forecasting, and stress testing.
  • Strong foundation in applied probabilistic modeling, time series analysis and statistical inference;
  • Proficiency with SAS and/or other data software like R or C/C++/C#, Python, Matlab, Database (Oracle, SQL etc.)
  • Model validation experience.
  • For Level 2 Advisor role:
    • Minimum of 2 years of experience in model risk management or related experience
    • Basic knowledge of model risk management principles and practices
  • For Level 3 Advisor role:
    • Minimum of 5 years of experience in model risk management or related experience
    • Working knowledge of model risk management principles and practices

Assets

  • Bilingual in both official languages (French and English).
  • Professional designations such as Fellow of the Actuarial Society, Financial/Professional Risk Manager, Accounting designations.
  • A graduate degree in a quantitative discipline (e.g. Applied/Actuarial Mathematics/Statistics/Finance).
  • Credit risk management experience, preferably in a financial services and/or Crown corporation environment. 
  • Knowledge or experience in modeling practices related to IFRS 9 and/or IFRS 17 regulations.
  • Advanced programming knowledge and experience in the management and manipulation of large and complex data files (MS-Excel, R, VBA, SAS/SQL, Python, etc.).
  • Advanced knowledge of statistical techniques, data mining, predictive modelling, and/or machine learning algorithms and interpretation.
  • Demonstrated ability to adapt to changing priorities.

Salary Range

  • Level 2- $64,100 - $96,100, plus performance-based incentive 
  • Level 3 -$75,700 - $113,600, plus performance-based incentive 

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