Senior Manager, Market Risk Measurement And Model Development

Requisition ID: 180349

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 data, analytics, and modelling skills? – Join us!

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 prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and 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. We currently lead the Bank’s project to implement the Fundamental Review of the Trading Book (FRTB). As part of this, we have provided major contributions to discussion with regulators on changes that increase the financial stability of banking systems world-wide.

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 love to apply your data, analytic, and modelling skills to solve relevant 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 market risk, counterparty credit risk, derivatives modelling or financial engineering. This role is for you if you enjoy highly communicative and collaborative environments and enjoy managing and working together in a small team. There will be opportunity to manage a small team in the future.

As a member of the Market Risk Measurement and Model Development team, you will support the bank’s model development for the Fundamental Review of the Trading Book (FRTB). You will also contribute to the Benchmark Rate Reform (BRR) initiatives to get the bank ready for LIBOR cessation and have opportunities to develop risk models to support new products and business. The team is at the forefront of new bank-wide initiatives related to Market Risk management and model enhancements with exposure to many stakeholders from business and risk functions. You will drive model implementation, collaborate with front-office and risk oversight teams, support existing models, and engage with regulators and Canadian Bankers Association (CBA) to ensure model development and Market Risk management are aligned with most recent industry developments, regulatory changes, and best-practices.

In This Role, You Will

• Communicate with model users, trading desks, risk teams, and business lines to enhance models and ensure correct use of models.
• Execute model runs on a regular basis for reporting and perform corresponding analyses.
• Take a leading and hands-on role in a number of projects involving Fundamental Review of the Trading Book (FTRB) and Benchmark Rate Reform (BRR).
• We'd Love To Work With You If You Have
• Explore and implement the state of art solution for high performance computing problem leveraging advances in parallel computing, deep learning and numerical approximation.
• Become an active member of the team including our D&I initiatives and communities.
• Assist team members for various ad-hoc analyses, model development, documentation, reporting, preparation of materials.
• Design and implement new approaches and enhance existing methodologies to advance market risk measurements. Develop production level code and collaborate with IT team for integration into daily bank processes.

Do you have the skills that will enable you to succeed in this role.

• Solid quantitative background and problem-solving skills with a keen interest in Finance, Economics, Derivatives, Risk management and 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 a bonus.
• Effective communication and specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations. Experience in managing and pushing forward projects.
• Python programing is essential. Experience in other Object-Oriented programing is a bonus.
• 2 to 5 years of experience in quantitative finance roles. Knowledge of industry wide methods for market risk modeling, derivative pricing, or experience in market risk management.

What’s in it for you?

• An organization committed to making a difference in our communities– for you and our customers.
• A competitive compensation and benefits package.
• A rewarding career path with diverse opportunities for professional development.
• The opportunity to join a forward-thinking company surrounded by a collaborative team of innovative thinkers.
• We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success!
• Internal development to support your growth and enhance your skills.

This position is located Downtown, Toronto.
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.