Data Scientist, Counterparty and Market Risk

Desjardins Group; Montreal; Hybrid; USD 80,000 - 110,000; Full time

Job summary

A leading financial institution seeks a Data Scientist in Counterparty and Market Risk to analyze risk models and support business decisions. The successful candidate will leverage advanced expertise in XVA, PFE, and market risk measurements while working in a hybrid environment. Offering competitive compensation and benefits, this role emphasizes innovative risk management strategies and collaboration with diverse teams.

Benefits

Competitive salary and annual bonus

4 weeks of flexible vacation starting in the first year

Defined benefit pension plan

Group insurance including telemedicine

Reimbursement of health and wellness expenses

Qualifications

• Minimum of eight years of relevant experience expected.
• Experience with at least one market risk software solution is essential.
• CFA or FRM certification is highly desirable.

Responsibilities

• Analyze and explain XVA variations.
• Help develop and maintain counterparty risk models.
• Contribute to internal and external risk reporting.

Skills

Python

Risk Analysis

Model Validation

Knowledge of Financial Derivatives

Knowledge of Regulations

Education

Bachelor's degree in a related field

Tools

Market Risk Software

Linux

Job description

Data Scientist, Counterparty and Market Risk page is loaded

Data Scientist, Counterparty and Market Risk

Apply remote type The work arrangement for the position is hybrid work locations Montréal time type Full time posted on Posted 6 Days Ago job requisition id R2504604

As part of the Counterparty and Issuer Risk team, your role is to use your expertise in PFE and XVA models to help Business Services develop the derivatives business line. Due to your knowledge and experience, you interact with an array of professionals in market, credit, IT, and more. You recommend directions and strategies to implement industry best practices for governance of risk management. As a Data Scientist, Counterparty and Market Risk, you take part in analysis, research and development for the XVA desk to improve the management and monitoring of provisions for OTC derivatives. You serve as a specialist advisor and subject matter expert. You also serve as a resource person and assistant for decision-making bodies. More specifically, you will be required to :

• Analyze and explain XVA variations.

• Interact with the XVA desk to review and improve calculation parameters.

• Calculate XVA charges on new derivative transactions.

• Model financial products and evaluate pricing.

• Develop, validate and analyze P&L metrics and Greeks.

• Help develop and maintain counterparty risk models (PFE, XVA, SA-CCR, etc.) and market risk models (VaR, stress tests, etc.).

• Collaborate with the capital team on regulatory CVA (BA-CVA, SA-CVA) and market risk capital (SA-FRTB).

• Monitor market developments and best practices for XVA.

• Help develop IT tools related to counterparty and issuer risk.

• Take part in continuous monitoring of compliance with AMF regulations for deposit-taking institutions.

• Contribute to internal and external risk reporting.

• Contribute to governance documents on counterparty, issuer and market risk.

• Work with the internal analytics community to help it fulfill its role as a hub of data science expertise.

What we offer*

• Competitive salary and annual bonus

• 4 weeks of flexible vacation starting in the first year

• Defined benefit pension plan that provides predictable, stable income throughout retirement

• Group insurance including telemedicine

• Reimbursement of health and wellness expenses and telework equipment

*Benefits apply based on eligibility criteria.

What you bring to the table

• Bachelor's degree in a related field

• A minimum of eight years of relevant experience

• Please note that other combinations of qualifications and relevant experience may be considered

• Experience with at least one market risk software solution

• Experience in model validation

• Experience in programming and analysis with Python

• Academic specialization and/or CFA or FRM certification (ideally) underway or complete

• Expertise in counterparty/market risk, including knowledge of the XVA and PFE models, P&L attribution, Greeks, VaR and stress testing

• Knowledge of the International Swaps Derivatives Agreement (ISDA) and the Credit Support Annex (CSA)

• In-depth knowledge of financial derivatives and how they’re modelled

• Knowledge of Linux

• Knowledge of Basel regulations

• Knowledge of French is required

• Advanced proficiency of English due to the nature of the duties or work tools or because the position involves interactions with English-speaking partners, members and/or clients

Action oriented

#LI-Hybrid

Trade Union (If applicable)

At Desjardins, we believe in equity, diversity and inclusion. We're committed to welcoming, respecting and valuing people for who they are as individuals, learning from their differences, embracing their uniqueness, and providing a positive workplace for all. At Desjardins, we have zero tolerance for discrimination of any kind. We believe our teams should reflect the diversity of the members, clients and communities we serve.

If there's something we can do to help make the recruitment process or the job you're applying for more accessible, let us know. We can provide accommodations at any stage in the recruitment process. Just ask!

Job Family

Data (FG)

Unposting Date

2025-07-15

Similar Jobs (5)

Data Scientist, Credit Risk

remote type The work arrangement for the position is hybrid work locations 2 Locations time type Full time posted on Posted 10 Days Ago

Senior Data Scientist, Liquidity risk

remote type The work arrangement for the position is hybrid work locations Montréal time type Full time posted on Posted 3 Days Ago

Credit Risk Quantification and Compliance Analyst

remote type The work arrangement for the position is hybrid work locations Montréal time type Full time posted on Posted 9 Days Ago

About us

Desjardins Group is the largest cooperative financial group in North America. We're the choice for over 52,000 employees and we're named one of Canada's top employers by Mediacorp and Forbes. We offer a full range of financial products and services and share our expertise in personal services, business services, wealth management, life and health insurance, and property and casualty insurance.

Pursuing a career at Desjardins means being part of an organization that puts people first.