Manager, Counterparty Credit Risk
7 days ago
Requisition ID: 158181
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
Counterparty Credit Risk Measurement group supports Scotiabank’s derivative trading business lines by providing accurate and timely calculations of Counterparty Credit Risk (CCR) measures: Potential Future Exposure, Credit Value Adjustment, Funding Value Adjustment, Regulatory and Economic Capital. Our award-winning CCR project covers a vast range of derivative products: Commodity, Interest Rates, Equity, Foreign Exchange, Credit and others.
The group is looking for a member with strong programming and quantitative skills, and a demonstrated interest in financial industry modeling.
**Position Description**
The primary responsibilities will include:
- Support trading desks in risk and profit/loss attribution calculations
- Design algorithms and approaches needed to achieve an order of magnitude improvement in our systems performance
- Develop and maintain processes supporting CCR calculations.
- Research, propose and implement enhancements to the CCR framework.
- Support migration of new derivative products into CCR system.
**Position Qualifications**
- Strong quantitative and problem solving skills.
- Independence in managing and pushing forward projects
- Knowledge of CCR measures and OTC derivatives
- Hands-on experience with scripting languages (Python or alike) and C++ (or other OO languages)
- Experience with UNIX or Linux operating systems.
- Experience with mathematical models and their implementation.
**Education**
- An advanced degree in Physics, Math, Computer Science or Engineering or Master’s degree in Quantitative Finance disciplines (MMF, MQF, or similar).
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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