Senior Manager, ALM Risk Modelling

Scotiabank; Toronto; On-site; CAD 110,000 - 150,000; Full time

Benefits offered by this job

Annual bonus

Flexible vacation

Personal and sick days

Comprehensive benefits

Job summary

Scotiabank is seeking a quantitative modeller to take ownership of balance sheet risk modelling. You will build models from data, calibrate using historical and exogenous inputs, and collaborate with business units to understand behavioural components.

You will present analyses to senior management and design code following best practices to ensure efficient and maintainable models. The role emphasizes strong mathematical and statistical foundations, a software engineering mindset, and

Qualifications

• Experience building a statistical or mathematical model.
• Ability to distill complex ideas for decision making.
• Knowledge of finance concepts such as interest rate risk, ALM or derivatives pricing is a bonus.

Responsibilities

• Take a balance sheet position and model it from start to finish using historical and exogenous data.
• Liaise with business counterparts to understand behavioural components and risk to support model development.
• Present model analysis and proposals to stakeholders and senior management.
• Design and code models following software best practices to ensure efficient use of computing resources and maintainability.

Skills

Statistical modeling

Data analysis

Python programming

Education

Graduate degree in physics, engineering, statistics, or other quantitative discipline

Job description

Requisition ID: 269546

Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.

We are responsible for modelling the interest rate risk of all assets and liabilities on Scotiabank’s balance sheet, directly impacting the Bank’s rate positioning and FTP. Our team brings together quantitatively minded professionals with diverse backgrounds in mathematics, statistics, physics, and computer science to foster creative approaches to customer behaviour modelling, such as mortgage prepayment and deposit behaviour.

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

• Take a balance sheet position and model it from start to finish, using historical and exogenous data to support calibration
• Liaise with our business counterparts to understand the nuances of behavioural components and options risk to support development of bespoke models. Work with local and international business units to review datasets
• Regularly present model analysis and proposals to stakeholders and senior management
• Design and code models following software best practices to ensure optimal use of computing resources, streamlining operations and maintenance

Skills

• Graduate degree in physics, engineering, statistics, or other quantitative discipline, or commensurate experience
• Experience building a statistical or mathematical model
• The ability to distill complex ideas into simple terms to support decision making
• Knowledge of structural interest rate risk modelling, ALM, or derivatives pricing is a bonus
• A software engineering mindset is essential for our work. Python programming is a bonus

What’s in it for you?

• A rewarding career path with diverse opportunities for professional development
• An organization committed to making a difference in our communities — for you and our customers.
• A competitive rewards program that includes an annual bonus, flexible vacation, personal and sick days, and comprehensive benefits that start on your first day.
• Diversity, Equity, Inclusion & Allyship — We strive to create an inclusive culture where every employee is empowered to reach their fullest potential, respected for who they are, and embraced through bias-free practices and inclusive values across Scotiabank. We embrace diversity and provide opportunities for all employees to learn, grow, and participate through our various Employee Resource Groups (ERGs), which span diverse gender identities, ethnicities, races, ages, abilities, and veteran statuses.
• Accessibility and Workplace Accommodations — We value the unique skills and experiences every individual brings to the Bank and are committed to creating and maintaining an inclusive and accessible environment for everyone. Scotiabank continues to locate, remove, and prevent barriers so that we can build a diverse and inclusive environment while meeting accessibility requirements.

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 our 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.