Senior Manager, Market Risk Measurement

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

Job summary

A leading bank seeks a Senior Manager for Market Risk Measurement to join their team. The role involves overseeing CCR Capital analytics, ensuring compliance with regulatory standards, and collaboration with various stakeholders. Ideal candidates will possess advanced degrees in relevant fields and robust experience in risk modeling and analytics. A competitive rewards package and a supportive work environment awaits.

Benefits

Competitive rewards package

Performance bonus

Medical, vision and dental benefits from day one

Internal training for professional development

Paid vacation and personal sick days

Qualifications

• Advanced degree in Mathematics, Statistics, or related field required.
• Industry certification (e.g., CFA/FRM) is an asset.
• Proficiency in SQL and Python necessary.

Responsibilities

• Support the director in the development of overall work plan.
• Develop and automate control processes.
• Perform detailed quantitative and technical review of capital processes.

Skills

Knowledge of derivative pricing models

Counterparty credit risk modeling

Presentation skills

Proficient in SQL

Proficient in Python

Proficient in Unix bash scripting

Ability to manage multiple priorities

Education

Master’s degree or Ph.D. in Mathematics

CFA or FRM certification

Tools

MS Power BI

Job description

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Title: Senior Manager, Market Risk Measurement

Requisition ID: 223450

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

As part of Global Risk Management, Market Risk Measurement team delivers reporting, analytics and insights to the Bank’s non-retail business lines. The Counterparty Credit Risk (CCR) Capital analytics team specializes in regulatory capital for Counterparty Credit Default risk and Credit Value Adjustment. The incumbent will work on development, maintain the Bank’s CCR capital system and be responsible for the report and corresponding analysis. We are looking for people and talent that will help us drive 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? In this role, you will:

• Support director in development of overall work plan for CCR (OTC and SFT) and CVA capital process including monitoring/escalating/addressing any issues impact on the CCR/CVA capital value.
• Provide guidance and supervise staff to deliver work assignments
• Collaborate with front-office, technology, and all users to support investigations.
• Develop and automate control processes to identify data challenges affecting accuracy of CCR/CVA capital; Collaborate with data governance teams to drive CCR data issues resolution.
• Develop and implement analytics dashboard through the Power BI framework for CCR/CVA capital reporting and drilldown investigation tools for the capital values.
• Assist business line in any ad-hoc/one-off capital analysis and in understanding CCR/CVA capital calculation.
• Perform detailed quantitative and technical review capital process with minor guidance, including responsibility of designing the end-to-end capital process, research on appropriate statistical / mathematical technical tests, undertaking research and development of new techniques, coding/programming to analyze various aspects of model performance.
• Comply with internal policies, procedures and regulatory requirements where applicable
• Provide active and direct support to resolve outstanding audit and regulatory issues and to respond to ad hoc senior management and regulatory requests.

Do you have the skills that will enable you to succeed in this role? We'd love to work with you if you have:

• Advanced degree in Mathematics, Statistics, Econometrics, Physics, Computer Science, Financial Mathematics, Financial Engineering (Master or above, Ph.D. Preferred); Industry certification or credentials will be an asset (e.g. CFA, FRM)
• Knowledges of the derivative pricing model theory, counterparty credit risk modeling, market data etc. Experience in modeling including the valuation and capital models, or counterparty credit risk modeling,
• Familiar with various trading products including IR, FX, Equity, Commodity, SFT etc.
• Excellent written and presentation skills to provide advice and explanation to various users
• Sound understanding of various modelling techniques and comfortable to conduct various tests.
• Proficient computing skills in SQL, Python, Unix bash scripting.
• Knowledge of databases and BI tools (especially MS Power BI) is an asset.
• Ability to manage efficiently multiple priorities; attention to detail and ability to work independently or in teams; consensus-building ability.

What's in it for you?

• We have an inclusive and collaborative work environment that values curiosity & ownership, encourages pragmatic creativity (i.e. true innovation), and celebrates success!
• An inclusive working environment that encourages creativity, curiosity, and celebrates success!
• A rewarding career path with diverse opportunities for professional development
• Internal training to support your growth and enhance your skills
• A competitive rewards package that includes a base salary, a performance bonus, company matching programs on pension and profit sharing, paid vacation, personal & sick days, medical, vision and dental benefits that start from day one and much more!

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. If you require technical assistance, please click here . 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.