Credit Risk Methodology And Analytics

Description:

Main Accountabilities:

• Lead the development and implementation of the Earnings-at-Risk and Capital-at-Risk methodologies for credit risk sensitive instruments.
• Develop and maintain a scalable infrastructure for the production of regular and ad-hoc reporting covering Asset classes, Business Groups and the Enterprise.
• Provide analytical support and enhance models on credit risk measurement under IFRS 9 and IFRS 17 requirements.
• Act as the primary resource to educate and inform senior management, business group risk officers, portfolio management and Investments on the principles of Sun Life's portfolio credit risk models and their impact on the organization.
• Maintain complete and up-to-date documentation for all processes, assumption changes and parameter specifications of the models/methodologies used in credit risk management.
• Independently monitor and report limit breaches and track remediation.
• Keep abreast of changing best practices in the field of credit risk management and incorporate best practice when and where appropriate.
• Share insights with respect to credit markets and our portfolio generated through analysis and stress-testing

Competencies:

• Successful candidates will possess a graduate degree in actuarial science, mathematics, economics or finance.
• 7+ years work experience including 3 - 5 years experience related to credit risk analytics, methodology or Insurance Asset and Liability management.
• Excellent analytical skills, and intellectual curiosity.
• Strong verbal and written communication skills, particularly the ability to simplify complicated information and present it in a practical context.