Credit Risk Analyst

Sun Life • Toronto, ON

1d • $60,000 - $97,000 • Hybrid

About The Position

The Analyst, Credit Risk Methodology and Analytics, will report to the Director, Internal Risk Rating, and is responsible for supporting the development and maintenance of advanced quantitative credit risk models and risk metrics at Sun Life. As part of the Credit Risk team, the analyst will focus on the Risk Rating models development and monitoring, management and maintenance of the Investment Credit Risk System (ICRS), as well as portfolio level Credit Risk measurement (such as Earning-at-Risk (EaR), Capital-at-Risk (CaR) and Expected Credit Loss (ECL)), management and reporting, based on regulatory requirements and internal risk management standards.

Requirements

• Successful candidates will possess a bachelor/graduate degree in quantitative finance areas such as Financial Engineering, Actuarial Science, Financial Mathematics, etc.
• 1-2 years experience in quantitative risk functions in insurance companies, banks, or highly respected consulting firms is strongly preferred.
• Understanding of Fixed income financial instruments and associated risk metrics, C&I, CRE portfolios, stress testing, back testing, etc.
• Strong coding skills in environments such as Python, SQL, VBA.
• Strong communication, presentation, and public-speaking skills.
• Experience in advanced credit risk data modelling techniques such as logistic regression and Machine Learning approaches: support vector machines, decision trees, random forest, neural networks, etc.
• Experience in development or monitoring of quantitative credit risk and risk rating models for different asset types and portfolios.
• Good understanding of accounting standards related to the insurance industry, especially IFRS 9 and IFRS 17.

Nice To Haves

• Professional qualifications (CFA, FRM, etc.) are considered beneficial.
• Familiarity with third-party credit risk applications would be advantageous.
• Experience/knowledge of data modelling or mining using agentic AI tools.
• Experience/knowledge of data analytics for risk measurement and management using Python, Python web framework, pandas, etc.

Responsibilities

• Work on the development, enhancement, maintenance, and monitoring of quantitative and hybrid Probability of Default (PD) and Loss Given Default (LGD) models for different assets and portfolios.
• Support the business stakeholders in Credit Risk Rating operations using internal systems (ICRS) and applications, as per the applicable policies and procedures, to ensure that risk rating data used in risk appetite measures like Earning-at-Risk and Capital-at-Risk are accurate and any required changes are completed accurately and timely.
• Work on the Credit Risk feed generation process, reconciliation process, IFRS 9 ECL estimation, stress testing and other portfolio risk metrics estimation and reporting, including automation and process improvements.
• Work closely with frontline analysts and Credit Risk Adjudication teams to ensure rating model and rating outputs are well understood by all stakeholders.
• Work closely with Credit Risk Adjudication teams and Credit Risk IT team to support the risk rating methodology review process, identify opportunities, and recommend solutions designed to enhance the overall effectiveness of credit risk rating business processes.
• Document of the Credit risk measurement and management process, models and non-model EUCs, model validation findings resolutions.

Benefits

• 15 vacation days per year
• Flexible Benefits from the day you join to meet the needs of you and your family
• Pension Plan participation starts immediately, and you are automatically enrolled. We help you save more with Sun Life automatic and matching contributions and by including both your salary and bonus when making contributions.
• The opportunity to move along a variety of career paths with amazing networking potential
• Flexible hybrid work model
• Work and professional development that is united by our Purpose: to help Clients and Employees achieve lifetime financial security and live healthier lives
• A friendly, collaborative, and inclusive culture

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level