Manager, Counterparty Credit Risk

Scotiabank Global Site; Toronto; On-site; CAD 100,000 - 140,000; Full time

Job summary

A leading financial institution in Toronto is seeking a Market Risk Manager to join their Market Risk Measurement team. The ideal candidate will leverage mathematical and analytical skills to lead complex risk measurement processes and manage a team of quantitative analysts. The role requires advanced knowledge in Capital Markets and significant experience in quantitative modeling, with a competitive compensation and a collaborative environment.

Benefits

Competitive compensation and benefits package

Professional development opportunities

Inclusive working environment

Qualifications

• Experience in quantitative modeling in finance and risk management.
• Ability to lead a team of quantitative analysts.
• Advanced knowledge of Counterparty Credit Risk calculations.

Responsibilities

• Take a leading role in high-profile projects involving PFE and IMM capital calculations.
• Design algorithms for CCR Monte Carlo engine.
• Communicate with model users and enhance models.

Skills

Quantitative Finance

Problem-solving

Team Management

Python Programming

Communication

Education

Advanced degree in Mathematics, Economics or Scientific Discipline

Tools

UNIX/Linux

Job description

Overview

Requisition ID : 231821

Join a purpose driven winning team committed to results in an inclusive and high-performing culture. This is a 18-month contract position.

Excited about creating a safer financial world by using your mathematical / analytical / modelling skills and finance / risk knowledge to solve complex problems and developing sophisticated risk measurement processes? 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 build internal models, risk frameworks and systems for Counterparty Credit Risk, Market Risk and Liquidity Risk; prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives; and contribute to discussions with regulators on changes that increase the financial stability of banking systems worldwide. MRM 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 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 applying your mathematical and modelling skills to solve important and practical problems? Do you want to be part of building the next generation market risk framework to make a safer financial world? This role is ideal for a person with some years of experience in quantitative modeling in finance and risk management (e.g., counterparty credit risk, market risk, derivatives modelling or financial engineering). This role is for you if you enjoy problem solving, developing complex models and processes, working in highly communicative and collaborative environments, and managing a small team of highly trained quantitative analysts at the manager level.

Your responsibilities

• Take a leading and hands-on role in high-profile projects involving Potential Future Exposure (PFE), 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 typically in Python with close collaboration with IT to promote models into production.
• Communicate with model users, trading desks, risk management and business lines to enhance models and ensure correct use of models.
• Work on various ad-hoc analyses, model development, documentation, reporting and preparation of materials.
• Execute model runs on a regular basis for reporting and perform corresponding analyses.
• Manage a team of 2-3 highly trained quantitative analysts at the manager level.

Qualifications

• Solid quantitative background in mathematical finance and strong problem-solving skills with an interest in Capital Markets, Derivatives and Complex Financial Products, Quantitative Risk management and Financial Regulations.
• Advanced degree in mathematics, economics or a scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Economics). Master’s degrees or PhDs are preferred.
• Advanced knowledge of industry-wide methods for Counterparty Credit Risk calculations with experience in quantitative finance roles. Ability to lead a working group of specialists to develop solutions for complex CCR measurement.
• Python programming and experience with UNIX/Linux environments are essential. Experience in other Object-Oriented programming is a bonus.
• Effective communication and the ability to summarize complex ideas in simple terms; you enjoy working in collaborations. Experience in managing and pushing forward projects.

What’s 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!

Location

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 during the recruitment and selection process please let our Recruitment team know. If you require technical assistance please contact the appropriate support. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest; however only those selected for an interview will be contacted.

Required Experience : Manager

Key Skills

Arm, Risk Management, Financial Services, Cybersecurity, COSO, PCI, Root Cause Analysis, COBIT, NIST Standards, SOX, Information Security, RMF

Employment Type : Full Time

Experience : years

Vacancy : 1