Senior Consultant - Credit Risk Modelling

Senior Consultant - Credit Risk Modelling

Location: Toronto

Other locations: Primary Location Only

Salary: Competitive

Date: Apr 10, 2026

Job description

Requisition ID: 1700808

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The opportunity

EYs Financial Services Risk Management (FSRM) practice is an advisory unit that provides risk management support to banks, insurance companies and asset managers. Our team includes individuals who have a combination of qualitative, quantitative, regulatory and programming skills. We are seeking a Senior Consultant with modelling experience acquired in the banking industry or in consulting services to join our team. This position is available either in Toronto or Montreal, in latter case they must be able to work in English and French.

This job posting relates to an exis

Your key responsibilities

As a Senior Consultant in the FSRM team, you will be leading or supporting EY services in the market through business development, engagement planning and high-quality engagement execution. Leveraging your strong technical expertise, you will offer professional advice to clients across a broad spectrum of situations. You will be working on engagements relating to:

Development and validation of credit risk models (e.g. AIRB, IFRS 9, stress testing) based on industry best practices and regulatory requirements

Design, optimization and implementation of capital management frameworks and lending strategies (ICAAP, risk appetite limits, lending processes)

Participate in risk transformation programs related to regulatory changes or merger-acquisitions (climate risk frameworks, OSFI applications, resolution of regulatory findings)

You will be taking part in EY educational programs to continuously develop skills and developing and maintaining productive relationships with clients.

Skills and attributes for success

Practical experience in modeling techniques applicable to credit risk models such as PD, LGD, EAD or ECL models

Strong quantitative skills in data analytics and modelling incl. artificial intelligence and machine learning techniques

Good knowledge of the banking industry and their risk management regulatory framework

Strong communication, presentation, and technical writing skills to describe ideas, concepts and issues that involve interpretation, analysis, and assessment of complex conceptual topics and proficiency in the use of PowerPoint, Word and Excel

Willingness to work in team both virtually and onsite, and ability to travel across Canada to meet with clients (rare)

To qualify for the role, you must have

Minimum 2 years of relevant experience within a credit risk model development or model validation team at a major financial institution or in a consulting firm

Strong academic background with a Masters degree in quantitative field such as Finance, Economics, Mathematics, Statistics or Engineering (equivalent education and/or experience may also be considered)

Significant experience and proven ability to program in pertinent languages, such as Excel, SAS, SQL, R, and Python.

Knowledge of credit risk regulatory requirements (Basel II, Basel III and post-crisis regulatory reforms) and accounting standards (IFRS 9)

Knowledge or experience of credit risk models and methodologies: measurement methodologies (PD, LGD and EAD), retail credit risk scorecards and wholesale rating models