Senior Manager, Market Risk Measurement

Requisition ID: 223450

Join a purpose driven winning team committed to results in an inclusive and high-performing culture.

As part of Global Risk Management Market Risk Measurement team delivers reporting analytics and insights to the Banks non-retail business lines. The Counterparty Credit Risk (CCR) Capital analytics team specializes in regulatory capital for Counterparty Credit Default risk and Credit Value Adjustment. The incumbent will work on development maintain the Banks CCR capital system and be responsible for the report and corresponding analysis. We are looking for people and talent that will help us drive 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 In this role you will:

• Support director in development of overall work plan for CCR (OTC and SFT) and CVA capital process including monitoring/escalating/addressing any issues impact on the CCR/CVA capital value.
• Provide guidance and supervise staff to deliver work assignments
• Collaborate with front-office technology and all users to support investigations.
• Develop and automate control processes to identify data challenges affecting accuracy of CCR/CVA capital; Collaborate with data governance teams to drive CCR data issues resolution.
• Develop and implement analytics dashboard through the Power BI framework for CCR/CVA capital reporting and drilldown investigation tools for the capital values.
• Assist business line in any ad-hoc/one-off capital analysis and in understanding CCR/CVA capital calculation.
• Perform detailed quantitative and technical review capital process with minor guidance including responsibility of designing the end-to-end capital process research on appropriate statistical / mathematical technical tests undertaking research and development of new techniques coding/programming to analyze various aspects of model performance.
• Comply with internal policies procedures and regulatory requirements where applicable
• Provide active and direct support to resolve outstanding audit and regulatory issues and to respond to ad hoc senior management and regulatory requests.

Do you have the skills that will enable you to succeed in this role Wed love to work with you if you have:

• Advanced degree in Mathematics Statistics Econometrics Physics Computer Science Financial Mathematics Financial Engineering (Master or above Ph.D. Preferred); Industry certification or credentials will be an asset (e.g. CFA FRM)
• Knowledges of the derivative pricing model theory counterparty credit risk modeling market data etc. Experience in modeling including the valuation and capital models or counterparty credit risk modeling
• Familiar with various trading products including IR FX Equity Commodity SFT etc.
• Excellent written and presentation skills to provide advice and explanation to various users
• Sound understanding of various modelling techniques and comfortable to conduct various tests.
• Proficient computing skills in SQL Python Unix bash scripting.
• Knowledge of databases and BI tools (especially MS Power BI) is an asset.
• Ability to manage efficiently multiple priorities; attention to detail and ability to work independently or in teams; consensus-building ability.

Whats in it for you

• We have an inclusive and collaborative work environment that values curiosity & ownership encourages pragmatic creativity (i.e. true innovation) and celebrates success!
• An inclusive working environment that encourages creativity curiosity and celebrates success!
• A rewarding career path with diverse opportunities for professional development
• Internal training to support your growth and enhance your skills
• Hybrid Work Environment
• A competitive rewards package that includes a base salary a performance bonus company matching programs on pension and profit sharing paid vacation personal & sick days medical vision and dental benefits that start from day one and much more!

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.