Senior Quantitative Analyst, Model Quantification

 •  CIBC Toronto, ON

Less than 5 years experience  •  Financial Services

Salary depends on experience
Posted on 12/12/17
Toronto, ON
Less than 5 years experience
Financial Services
Salary depends on experience
Posted on 12/12/17

Job Overview  

Reporting to the Senior Director, Retail MQ, the position will provide support and specialized expertise in developing methodologies for the estimation of Basel and IFRS 9 risk parameters for Retail Lending portfolios. The Senior Quantitative Analyst will use statistical tools such as SAS, SAS Enterprise Miner and associated specialized modules to conduct and verify calculations and methodologies for a variety of Retail Bank portfolios, including Credit Cards, Residential Mortgages, Personal Loans, Lines of Credit, Scored Small Business Loans and others. Familiarity with Retail Bank products from an analytical perspective is highly desirable.


Although the immediate requirement relates to retail risk modeling, future career development could include modeling for corporate and commercial lending or stress testing.

  What You’ll be Doing

  • Design or selection of appropriate methodologies for probability of default (PD), loss given default (LGD) and exposure at default (EAD) parameter estimation.
  • Assist in ensuring that data used for model development is reliable and robust. 
  • Provide portfolio impact analysis of any recommended changes.
  • Responsible for full documentation of all phases of development and testing.
  • Participate in the design and implementation of ongoing monitoring/validation protocol for existing models and parameter estimates, including benchmarking of internal estimates with external models and/or data sources.
  • Ensure all models are compliant and consistent with both external (Basel III, IFRS 9) and internal policies and procedures.
  • Ensure that models are successfully implemented in the necessary production systems.
  • Participate in research and analysis of evolving industry best practices in parameter estimation and modeling.
  • Keep abreast of advances in credit risk analytics developments, products and applications by vendors, consultants, regulatory agencies. Recommend appropriate enhancements.
  • Ad-hoc credit risk projects

 What We’re Looking For

  • Excellent written and verbal communication skills.
  • 3+ years of analytical and quantitative experience with a major financial institution. Other industry experience will be considered based on seniority and applicability.
  • An advanced degree (M.Sc. or Ph.D.) in a quantitative (finance/economics/statistics/mathematics) field.
  • Experience with mathematical or statistical analysis software tools (SAS, S-PLUS, MATLAB), database management, advanced Microsoft Excel skills.
  • Knowledge of CIBC’s retail lending portfolios.
  • Knowledge of Basel III regulatory capital requirements and the IFRS 9 accounting standard.
  • Proficiency with analytical procedures and techniques.
  • Familiarity with internal CIBC electronic systems and delivery options would be an asset.
  • Ability to comprehend and interpret complex requirements, to translate these into practical steps and to organize and direct their implementation.
  • Ability to influence and work with others in the department and in cross-functional teams.

  What CIBC Can Offer You

  • Flexible health benefits, stock purchase options, competitive incentive pay and recognition programs
  • Competitive salary and banking benefits
  • Career growth, development and continuous learning opportunities
  • Opportunity to be involved in CIBC events that help our communities
  • Click to learn more about Rewards & Recognition, Learning & Development, andEmployee Community Involvement

   What You Should Know

  • Must be legally eligible to work in Canada at the location(s) specified above and, where applicable, must have a valid work permit or study permit that allows the candidate to fulfill the requirements of the role


Requisition ID

: 17018970

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