Manager, Counterparty Credit Risk

2 weeks ago

Toronto, Canada Scotiabank Full time

Requisition ID: 207898

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 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. The team is at the forefront of new bank-wide initiatives related to CCR system
- and model enhancements with exposure to many stakeholders from business and risk functions. You will drive model implementation, collaborate with front-office and credit-risk officers, support existing models, and 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 leading and hands-on role in high-profile projects involving Potential Future Exposure (PFE) for SFT and Derivatives, Internal Model Method for CCR (IMM) capital, CVA and FVA calculations (XVAs).
- Design and implement algorithms and models for the CCR Monte Carlo engine which measures PFE, IMM capital and XVAs. Development and implementation of processes is typically completed in Python with close collaboration with stakeholders in IT to promote models into production.
- Communicate with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models.
- 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.
- 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 mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master’s degrees or PhDs are a bonus.
- Knowledge of industry-wide methods for CCR calculations and/or experience with CCR management is a bonus.
- Python programing is essential. Experience in other Object-Oriented programing is a bonus.
- 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 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 in 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

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