Credit Risk Modeling Analyst

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Job Summary:

The role will support the Vice President in the Wholesale Credit Risk Modeling Team within the Credit Strategies Group (CSG). This position offers a challenging yet intellectually stimulating and collegial environment. The primary responsibilities include modeling credit risk for Credit Scorecard projects, automating model production processes, and researching and developing Machine Learning solutions for credit risk models. This role emphasizes financial and statistical modeling, as well as the computer science aspects of these areas.

Key Accountabilities:

Statistical Modeling:

• Developing and maintaining credit risk Scorecard models, such as Probability of Default and Loss Given Default Models. Also other credit risk related models such as IFRS 9 and Stress Testing models.
• Playing a key role in advancing Machine Learning and automation initiatives, including data collection and preparation, feature engineering, parameter tuning, and exploring new academic approaches.
• Collaborating with model validation and governance teams to develop methods and metrics for relevant model validation.
• Creating reports and presentations for the Group Manager and Senior

Management. Model Governance:

• Working with model validation and governance teams to develop methods and metrics for ensuring all models continue to perform as expected and within ranges agreed to by internal model audit and model management committees.

Develop and Maintain Key Contacts:

• Collaborating closely with business line and risk managers to assess and manage firm wide risk management.

New Initiatives:

• Applying strong risk knowledge to solve problems relatively independently, without relying on daily supervision.
• Providing support to the Group Manager on other initiatives such as Machine Learning rating model, and related quantitative researches.

Technical Skills:

• Strong programming skills in at least one of Python, SAS or R
• Strong skills in statistical modeling and machine learning methods, including Regression (Linear/Logistic etc.), Decision Tree models such as Gradient Boosting Machines, and Neural Networks.
• Proficient in data querying languages: SAS/SQL
• Proficient in Microsoft Office Programs: Word, Power Point, and Excel
• Sound knowledge of credit products, principles, rules, guidelines, policies, approvals and understanding of credit terminologies in banking industry.

Experience and Abilities:

• Relevant experience in financial/economic modeling and/or Scorecard modeling preferred through prior internship, undergraduate/graduate level research, or work position.
• Prior Basel II (PD/LGD/EAD models), IFRS 9 and stress testing experience a significant plus.
• Commitment to quality and accuracy with strong attention to details.

Education and Training:

Bachelor's degree or higher in a quantitative or computer programing field such as Quantitative Finance, Economics, Statistics, Mathematics or Computer Science.

The job description and related application pertains to an opportunity with either MUFG Bank, Ltd., Canada Branch (“MUFG Bank Canada”) or MUFG Securities (Canada), Ltd. (“MUFG Securities Canada”). The job description relates to the general nature, scope, quantity and quality of work contemplated for the position. Other duties and responsibilities not specifically described may be assigned from time to time, consistent with knowledge, skills and abilities of the incumbent. The receipt of an application by either MUFG Bank Canada or MUFG Securities Canada, as applicable, does not imply or guarantee employment.

Each of MUFG Bank Canada and MUFG Securities Canada is an equal opportunity employer.

• As a federally regulated entity, MUFG Bank Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Canadian Human Rights Act and the Canada Labour Code. Where MUFG Bank Canada obtains information relating to protected grounds under the Canadian Human Rights Act as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Bank Canada does not use such information for decision making purposes relating to the position contemplated in this application.

 

• As a provincially regulated entity, MUFG Securities Canada is required to comply with applicable laws which prohibit discrimination based on protected grounds and which require accommodation to individuals in accordance with the requirements outlined in the Human Rights Code (Ontario) and the Employment Standards Act (Ontario). Where MUFG Securities Canada obtains information relating to protected grounds under the Human Rights Code (Ontario) as part of the application process, it does so to monitor and otherwise evaluate its own compliance with such legislation and associated regulatory requirements; MUFG Securities Canada does not use such information for decision making purposes relating to the position contemplated in this application.