Manager, Counterparty Credit Risk Measurement
7 days ago
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 data, analytics, and modelling 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.
As part of this, we have provided major contributions to discussion with regulators on changes that increase the financial stability of banking systems world-wide.
MRM is actively involved in the Bank's Diversity & Inclusion (D&I) initiatives representing the diverse gender, cultural and ethnic backgrounds of our team.
The more diverse we are, the more balanced our approach and models will be The team is a key contributor to Women-in-Leadership activities - we take part in enterprise-wide D&I discussions, events, and Employee Resource Groups to enhance the representation and recognition of minority groups in the bank.
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?
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.
- and model enhancements with exposure to many stakeholders from business and risk functions, including Machine Learning initiatives. You will drive the implementation of system changes, collaborate with front-office and credit-risk officers, support existing models. You will be a central part of the Counterparty Credit Risk cycle in the bank. You may also engage with regulators and Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with most recent industry developments, regulatory changes, and best-practices.
In this role, you will:
- Take a handson role in the development and maintenance in one of the key PFE, IMM and XVA engines in the bank.
- Interact with the business and the XVA desk on a daily basis on all CCR matters, as well as all other stakeholders in the organization.
- Help in a number of Machine Learning based initiatives we have to improve the CCR engine in the bank, that measure XVA, as well as PFE and IMM capital.
- Development and implementation of processes is typically completed in Python with close collaboration with stakeholders in IT to productionalize models.
- Communicate with model users, IT, trading desks, risk teams, and business lines to enhance models and ensure correct use of models.
- 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 a mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master's degrees or PhDs are a bonus.
- Experience in Python programing or other programing will be important to support dayday activity.
- 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 forwardthinking 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
- We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success
- This position is located Downtown, 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, i
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