Manager, Counterparty Credit Risk Measurement (Contract)

Requisition ID: 247739

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 math modelling computational and analytical 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 lead the Banks 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.

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.

Do you love to apply your analytical math modelling and computational skills to solve relevant problems for capital market risk management 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 strong quantitative modeling background (in Finance or other quant area) and 1years-experience in counterparty credit risk market risk or derivatives modelling. This could also be a good starter role for someone with a strong quantitative background in STEM with proven interest in Finance Economics Derivatives or Risk Management via reading and self-education.

As a member of the Counterparty Credit Risk Measurement team you will work with the Banks 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 support 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.

Is this role right for you In this role you will:

• Take a leading and hands-on role in high-profile projects involving Potential Future Exposure (PFE) for SFT and Derivatives 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.
• Operate complex processes in Unix/Linux Environments for computations of CCR measures (e.g. processing input data running Monte Carlo simulation for derivatives calculating CCR measures etc.)
• Communicate 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.

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

• Solid quantitative background and problem-solving skills with a keen interest in Finance Economics Derivatives Risk management and Regulations.
• Advanced degree in mathematics economics or scientific discipline (e.g. Mathematics Finance Statistics Physics Engineering Biology Economics etc.). Masters degrees or PhDs are a bonus.
• Python programing and working in Unix/Linux Environments are essential.
• Experience in other Object-Oriented programing is a bonus.
• Knowledge of industry-wide methods for CCR calculations and/or experience with CCR management.
• 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.

Whats 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 support your growth and enhance your skills.
• A competitive compensation and benefits package.
• An organization committed 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!

Please Note: The department is looking to hire two (2) openings for position.

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.