Manager, Market Risk Measurement and Model

6 months ago

Toronto, Canada Scotiabank Full time

Requisition ID: 181865

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. We currently 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 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 the Manager, Market Risk Measurement and Model Development (1-year contractor), you will support the bank’s model development for the Fundamental Review of the Trading Book (FRTB). You will also contribute to the Benchmark Rate Reform (BRR) initiatives to get the bank ready for LIBOR cessation. You will have opportunities to develop risk models to support new products and business, and collaborate extensively with other risk teams, business lines, and trading functions.

**In this role, you will**:

- Take a hands-on role in various high-profile projects, including Fundamental Review of the Trading Book (FRTB), Benchmark Rate Reform (BRR) and Orderly Liquidation model deve.
- Prototype new approaches and enhance existing methodologies to advance market risk measurements. Develop production level code and collaborate with IT team for integration into daily bank processes.
- Assist team members for various ad-hoc analyses, model development, documentation, reporting, preparation of materials.
- Execute model runs on a regular basis for reporting and perform corresponding analyses.
- Communicate with model users, 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, Market Risk, Derivatives Pricing, Risk management or 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 code development in Python, or other formal programing (e.g. C/C++, Java, etc.), will be important to support day-day activity.
- Effective oral and written communication skills, specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations.

**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
- This position is located Downtown, Toronto._

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.

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