Senior Manager, Counterparty Credit Risk Measurement, Market Risk Measurement
City : Toronto, ON, CA, M5H1H1
Category : Market Research Analyst
Industry : Financial Services/Banking
Employer : Scotiabank
Requisition ID: 193457
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
Excited about creating a safer financial world by using your mathematical/analytical/modelling skills and finance/risk knowledge to solve complex problems and developing sophisticated risk measurement processes?
As the Market Risk Measurement (MRM) team, we are an established leader in risk methodologies with many awards and several firsts in the Canadian banking sector: We build internal models, risk frameworks, and systems for Market Risk, Liquidity Risk, and Counterparty Credit Risk Measurement. We prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and contribute to discussion with regulators on changes that increase the financial stability of banking systems world-wide. MRM played a key role in Scotiabank becoming the first bank in Canada to receive regulatory approval for using Internal Model Methods (IMM) for Counterparty Credit Risk.
MRM is actively involved in the Bank’s Diversity & Inclusion (D&I) initiatives representing the diverse gender, cultural and ethnic backgrounds of our team. The more diverse we are, the more balanced our approach and models will be! The team is a key contributor to Women-in-Leadership activities – we take part in enterprise-wide D&I discussions, events, and Employee Resource Groups to enhance the representation and recognition of minority groups in the bank.
We are looking for people and talent that will help us drive these large-scale initiatives forward and work alongside our diverse team of quants, data scientists and developers and collaborate with our many stakeholders across Scotiabank.
Is this role right for you?
Do you relish to apply your mathematical and modelling skills to solve important and practical problems? Do you want to be part of the exciting endeavour of building out the next generation market risk framework to make a safer financial world? This role is ideal for a person with a few years experience in quantitative modeling in finance and risk management, either in counterparty credit risk, market risk, derivatives modelling or financial engineering. This role is for you if you relish problem solving, developing complex models and processes, working in highly communicative and collaborative environments, managing a small team of highly trained quantitative analysts at manager level.
As a member of the Counterparty Credit Risk Measurement team, you will work with the Bank’s Counterparty Credit Risk (CCR) systems, which includes measurement of Potential Future Exposure (PFE), IMM capital and xVA pricing. The team is at the forefront of new bank-wide initiatives related to CCR system- and model enhancements with exposure to many stakeholders from business and risk functions. You will drive model implementation, collaborate with front-office and credit-risk officers, assist existing models, and engage with regulators and Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with most recent industry developments, regulatory changes, and best-practices.
In this role, you will:
- Take a prima and hands-on role in high-profile projects involving Potential Future Exposure (PFE), Internal Model Method for CCR (IMM) capital, CVA and FVA calculations (XVAs).
- Design and implement algorithms and models for the CCR Monte Carlo engine which measures PFE, IMM capital and XVAs. Development and implementation of processes is typically completed in Python with close collaboration with stakeholders in IT to promote models into production.
- Socialize with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models.
- Assist team members for various ad-hoc analyses, model development, documentation, reporting, preparation of materials.
- Execute model runs on a regular basis for reporting and perform corresponding analyses.
- Become an active member of the team including our D&I initiatives and communities.
- Manage a team of 2-3 highly trained quantitative analysts at manager level.
Do you have the skills that will enable you to succeed in this role? - We'd relish to work with you if you have:
- Solid quantitative background in mathematical finance and strong problem-solving skills with a keen interest in Capital Markets, Derivatives and Complex Financial Products, Quantitative Risk management and Financial Regulations.
- Advanced degree in a mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master’s degrees or PhDs are preferred.
- Knowledge of industry wide methods for Counterparty Credit Risk calculations or experience with CCR management.
- 2 to 5 years of experience in quantitative finance roles. Ability to manage a small team of highly trained quantitative analysts at manager level.
- Python programing is essential. Experience in other Object-Oriented programing is a bonus.
- Effective communication and specifically the ability to summarize complex ideas in simple terms; you relish working in collaborations. Experience in managing and pushing forward projects.
What’s in it for you?
- The opportunity to join a forward-thinking company surrounded by a collaborative team of innovative thinkers.
- A rewarding career path with diverse opportunities for professional development.
- Internal development to assist your growth and enhance your skills.
- A diligent compensation and benefits package.
- An organization acted to making a difference in our communities– for you and our customers.
- We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success!
Location(s): Canada : Ontario : Toronto
Scotiabank is a leading bank in the Americas. Guided by our purpose: "for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.