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    Senior Consultant, Quantitative Risk Validation - Toronto, ON, Canada - Canadian Imperial Bank of Commerce

    Canadian Imperial Bank of Commerce
    Canadian Imperial Bank of Commerce Toronto, ON, Canada

    1 week ago

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    Description
    Senior Consultant, Quantitative Risk Validation page is loaded Senior Consultant, Quantitative Risk Validation

    Apply locations Toronto, ON time type Full time posted on Posted 2 Days Ago job requisition id We're building a relationship-oriented bank for the modern world.

    In the role of Quantitative Risk Modelling Analyst you'll have the opportunity to join the CIBC's Model Validation group.

    You'll conduct model reviews where you'll independently review of the CIBC's analytical and statistical models, primarily for risk measurements and capital calculation related to Capital Market Risk Management (CMRM) and participate in strategic project related model validation work, e.g., market risk Fundamental Review of Trading Book (FRTB) and counterparty credit risk Internal Model Method (IMM), etc.

    You'll also develop and support the CIBC's model risk management framework to ensure compliance with regulatory requirements (e.g.

    You'll interact with model owners, model developers and audit groups to establish and maintain sound process and procedures on model submission, model queue planning, model inventory management, and model ongoing monitoring, etc.

    You'll have the flexibility to manage your work activities within a hybrid work arrangement where you'll spend 1-3 days per week on-site, while other days will be remote.

    Technical expertise and testing- Develop an independent numerical benchmark and conduct numerical tests to assess the accuracy of the model's implementation.

    Reporting - Write a model validation report that includes a description of model and methodology, the testing approaches and results as well as model operational conditions and model risk assessment.

    Communication - Understand the governance and control on model risk management and be able to efficiently communicate the regulatory requirements to various stakeholders and senior management.

    You can demonstrate experience and knowledge of financial derivatives products (including the corresponding valuation and risk measurement models) and the regulatory requirements on model risk management.

    C/C++, Matlab, VBA and SAS, etc.
    D. degree in the areas of Mathematical Finance, Financial Engineering, Applied Mathematics, and Statistics.

    Maintain up-to-date knowledge with regard to financial derivatives modeling, and regulatory requirements on capital calculation and model risk management.

    We work to recognize you in meaningful, personalized ways including a competitive salary, incentive pay, banking benefits, a benefits program*, defined benefit pension plan*, an employee share purchase plan, a vacation offering, wellbeing support, and MomentMakers, our social, points-based recognition program.

    You need to be legally eligible to work at the location(s) specified above and, where applicable, must have a valid work or study permit .

    Analytical Thinking, Decision Making, Group Problem Solving, Model Analysis, Regulatory Requirements, Reporting and Analysis, Risk Models, Risk Quantification At CIBC, we are in business to help our clients, employees and shareholders achieve what is important to them.

    Working with CIBC makes you a part of a work environment committed to our clients, employees and communities - a place where you can excel.

    Every day, our 44,000 employees help our clients achieve their financial goals, because what matters to our clients, matters to us.

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