Senior Credit Quantitative Specialist

About the role

The Senior Credit Quantitative Specialist is GCI's senior technical specialist responsible for the ownership, governance and application of credit risk modelling across OMLACSA shareholder credit exposures. The role leads quantitative analysis of investment credit transactions, modelling of retail and investment credit exposures, consolidated portfolio risk assessment and management interpretation to support investment, capital and risk decisions. It also supports implementation of related systems and validates GCI-owned credit models. The incumbent is accountable for the effective operation and ongoing suitability of GCI's credit risk modelling framework.

Key responsibilities

• Own the credit risk modelling framework, including methodology inventory, approved applications, data requirements, operating controls, documentation and fitness for purpose.
• Assess whether model performance, portfolio changes or new risks require recalibration, enhancement, redevelopment or replacement, and refer the work to the model owner or developer.
• Apply approved models in GCI's risk modelling software to proposed investment credit transactions, supporting credit assessment, pricing, structuring, risk-adjusted return analysis and capital assessment.
• Model shareholder credit exposures in Moody's RiskFrontier and produce a consolidated view of credit risk across OMLACSA portfolios.
• Interpret model outputs, portfolio concentrations, capital consumption and risk trends for management and governance forums.
• Execute ORSA credit stress scenarios and interpret their results, key drivers, assumptions and limitations.
• Plan and execute risk-based validations of GCI-owned credit models, document independent conclusions and remediation, and report material findings to governance forums.
• Support systems development by turning quantitative, model risk and control requirements into functional and technical requirements, and review designs, data flows, calculations, interfaces and controls.

Required profile

• Honours or Masters degree in Actuarial Science, Statistics, Mathematics, Applied Mathematics, Quantitative Finance, Financial Engineering, Econometrics, Operations Research or Engineering.
• Minimum of 8-12 years' experience in quantitative credit analysis, portfolio and capital modelling, structured credit, model application, model development or model validation; prior model-development experience is advantageous.
• Experience validating quantitative credit models and presenting findings through formal governance processes is preferred.

Required skills

• Strong quantitative and credit risk modelling expertise.
• Experience with Moody's RiskFrontier or a comparable platform is advantageous.
• Advanced Excel; Python, SQL or comparable data-analysis tools are advantageous.
• Experience supporting systems development or transformation involving quantitative models is strongly preferred.