Manager, Counterparty Credit Risk Measurement

Scotiabank; Toronto; On-site; CAD 80,000 - 120,000; Full time

Job summary

Join a forward-thinking company as a Manager in Counterparty Credit Risk Measurement, where your analytical and quantitative skills will contribute to building a safer financial world. You will engage in high-profile projects and collaborate with a diverse team of experts to enhance risk management frameworks. This role offers the chance to work with innovative technologies and methodologies while being part of a culture that values inclusivity and professional growth. If you are passionate about finance and eager to make a meaningful impact, this opportunity is perfect for you.

Benefits

Professional development opportunities

Competitive compensation package

Inclusive working environment

Community involvement initiatives

Qualifications

• Strong quantitative modeling background in Finance or related fields.
• 1+ years experience in counterparty credit risk or market risk.

Responsibilities

• Lead high-profile projects involving Potential Future Exposure and CCR calculations.
• Design and implement algorithms for the CCR Monte Carlo engine.

Skills

Quantitative modeling

Analytical skills

Problem-solving

Interest in Finance

Communication skills

Education

Advanced degree in mathematics

Master’s degree or PhD

Tools

Python

Unix/Linux

Job description

Title: Manager, Counterparty Credit Risk Measurement

Requisition ID: 215948

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 Bank’s project to implement the Fundamental Review of the Trading Book (FRTB). As part of this, we have provided major contributions to discussions with regulators on changes that increase the financial stability of banking systems worldwide.

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 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 1+ years 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 Bank’s 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 the Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with the most recent industry developments, regulatory changes, and best practices.

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, and 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? - We'd 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.). Master’s degrees or PhDs are a bonus.
• Python programming and working in Unix/Linux Environments are essential. Experience in other Object-Oriented programming 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.

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(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. 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.