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Data Scientist - Contract
Remote, Canada · Computer/SoftwareData Scientist - 8 months contract (possible renewal)
Key Skills: Python, SQL, RDBMS PD, LGD, EAD parameter models, IFRS9 modelling frameworks and guidelines.
Job Description:
Key Skills: Python, SQL, RDBMS PD, LGD, EAD parameter models, IFRS9 modelling frameworks and guidelines.
Job Description:
- Experience in SQL and Python: Demonstrated ability to utilize these tools for data analysis, model development, and implementation
- Understanding of IFRS 9 and Economic Capital Frameworks: Familiar with methodologies for expected credit loss (ECL) estimation under IFRS 9 and/or frameworks related to Economic Capital, with emphasis on regulatory compliance
- Expertise in Risk Parameter Calibration: Hands-on experience calibrating Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) for
- Wholesale and/or Commercial portfolios, ensuring alignment with regulatory requirements such as CAR guidelines where applicable
- Knowledge of time series analysis and macroeconomic modeling, particularly for developing forward-looking credit risk forecasts or scenario analysis
- Experience developing PD, LGD, EAD parameter models. Familiarity with IFRS9 modelling frameworks and guidelines
- Overall 7+ of experience
- Bachelors degree