Found Description
Overview
A Senior Data Scientist in the Risk Management Models team at National Bank is responsible for validating credit risk models to ensure robustness, reliability, and regulatory compliance. The role helps strengthen the bank’s regulatory credibility and supports rigorous governance of models used for regulatory capital, ICAAP, IFRS 9 and stress testing.
Responsibilities
- Assess the conceptual soundness of credit risk models, including mathematical formulation, statistical rigor, assumptions, limitations and alignment with regulatory requirements and internal standards.
- Analyze the quality, relevance and integrity of the data used in the models, including key assumptions, exclusions, outliers and documentation quality.
- Test the performance and accuracy of models using robustness and stability analyses, sensitivity tests, benchmarks and impact analyses.
- Identify model uncertainties and limitations, assess the overall lev...