Manager, Model Validation
5 days ago
Requisition ID: 157942
Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
**Purpose of Job**:
The Manager in Model Validation & Approval valuation team provides independent and consistent model validation and approval across various product types, including foreign exchange (FX), fixed income, equity, commodity and credit derivatives.
This manager is primarily responsible to validate equity derivative pricing models used in Scotiabank’s production. She/he will collaborate with multiple stakeholders from groups including Global Analytics & Financial Engineering (GAFE) and Trading Floor Risk Management (TFRM) on a regular basis, and occasionally respond to internal and external audit’s requests.
**Responsibilities**:
- Support Director/Senior Manager to validate derivative pricing models used in capital market and risk management for various purposes including P/L calculation, sensitivity calculation and limit monitoring
- Manage the validation projects independently or work in a group; review model documentation; conduct research on new methodology and validation techniques; design and implement validation test plan
- Provide reports for the summary of findings and opinion to the model approval committee.
- Manage relationship with key contacts as identified for each validation request submission
- Comply with internal policies, procedures and regulatory requirements where applicable
- Provide support to large-scale projects as required
- Keep abreast of industry and regulatory developments and evolving expectations; develop relationships with counterparts at other financial institutions
**Job Requirements**:
- Advanced degree in quantitative fields such as Mathematics, Physics, Computer Science, Financial Mathematics, Economics, Financial Engineering (Master or above)
- Industry certification or creditials will be an asset (e.g. CFA, FRM)
- Strong knowledge in applied math/statistics and numerical method such as Monte Carlo simulation, Binomial/Trinomial Tree and numerically solving PDE
- In-depth knowledge in one or more of the following product types and modeling technique is preferred: equity derivatives, interest rate derivatives, commodity derivatives, FX, credit derivatives and local/stochastic volatility modeling
- Strong knowledge and/or work experience on Artifitial Intelligence (AI) and Machine Learning (ML) will be an asset
- Effective project and time management in order to efficiently deliver concurrent projects with competing priorities and good quality
- Ability to supervise as well as independently deliver work assignments efficiently
- Constructive conflict management ability; ability to collaborate effectively with model owner/sponsor counterparts as well as internal audit and regulators
- Effective presentation and strong spoken and written communication skill is essential
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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