Data Scientist, Counterparty and Market Risk

Desjardins; Montreal West; On-site; CAD 100,000 - 130,000; Full time

Job summary

A leading company in the banking sector is seeking a Data Scientist specializing in Counterparty and Market Risk. The role involves working with the Counterparty and Issuer Risk team to enhance derivatives management through data-driven insights and model validations. Candidates should possess a Bachelor's degree, extensive experience in market and counterparty risk, and proficiency in Python, with a commitment to promoting best practices in risk management.

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 for health and wellness expenses and telework equipment

Qualifications

• Minimum of eight years of relevant experience (other qualifications considered).
• Certifications such as CFA or FRM (preferably underway or completed).
• Proficiency in French and English.

Responsibilities

• Analyze and explain XVA variations.
• Develop, validate, and analyze P&L metrics and Greeks.
• Collaborate with the internal analytics community to promote data science expertise.

Skills

Python programming

Expertise in counterparty/market risk

Model validation

P&L attribution

Greeks

VaR

Stress testing

Knowledge of Linux

Understanding of financial derivatives

Education

Bachelor's degree in a related field

Tools

Market risk software solutions

Job description

Data Scientist, Counterparty and Market Risk

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Job Details

Location: Greater Montreal Metropolitan Area

Seniority Level: Mid-Senior level

Employment Type: Full-time

Job Function: Engineering and Information Technology

Industry: Banking

About the Role

As part of the Counterparty and Issuer Risk team, your role involves using your expertise in PFE and XVA models to support the development of the derivatives business line. You will interact with professionals across market, credit, IT, and other areas, providing strategic guidance and industry best practices for risk management governance. Your responsibilities include analysis, research, and development for the XVA desk to enhance the management and monitoring of OTC derivatives provisions. You will serve as a subject matter expert and advisor, supporting decision-making processes.

Key Responsibilities

• Analyze and explain XVA variations.
• Collaborate 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.
• Maintain and develop counterparty risk models (PFE, XVA, SA-CCR, etc.) and market risk models (VaR, stress tests, etc.).
• Work with the capital team on regulatory CVA and market risk capital requirements.
• Monitor market developments and best practices for XVA.
• Develop IT tools related to counterparty and issuer risk.
• Ensure compliance with AMF regulations for deposit-taking institutions.
• Contribute to risk reporting and governance documentation.
• Collaborate with the internal analytics community to promote 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
• Group insurance including telemedicine
• Reimbursement for health and wellness expenses and telework equipment

Candidate Profile

• Bachelor's degree in a related field
• Minimum of eight years of relevant experience (other qualifications considered)
• Experience with market risk software solutions
• Experience in model validation
• Proficiency in Python programming and analysis
• Certifications such as CFA or FRM (preferably underway or completed)
• Expertise in counterparty/market risk, XVA, PFE models, P&L attribution, Greeks, VaR, stress testing
• Knowledge of ISDA and CSA agreements
• Understanding of financial derivatives and modeling
• Knowledge of Linux and Basel regulations
• Proficiency in French and English

Additional Information

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We value diversity and are committed to inclusive hiring. Accommodations available upon request.

Unposting Date: 2025-07-15