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Market Risk Model Development Manager

2 months ago

Toronto, Ontario, Canada Scotiabank Full time
About the Role

We are seeking a highly skilled Market Risk Model Development Manager to join our team at Scotiabank. As a key member of our Market Risk Model Development team, you will play a critical role in supporting the bank's model development for the Fundamental Review of the Trading Book (FRTB) and Benchmark Rate Reform (BRR) initiatives.

Key Responsibilities
  • Take a hands-on role in various high-profile projects, including VaR, FRTB, and BRR.
  • Prototype new approaches and enhance existing methodologies to advance market risk measurements.
  • Develop production-level code and collaborate with the IT team for integration into daily bank processes.
  • Assist team members with various ad-hoc analyses, model development, documentation, reporting, and 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.
Requirements
  • 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 programming languages (e.g., C/C++, etc.) will be important to support day-to-day activity.
  • Effective oral and written communication skills, specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations.
What We Offer
  • 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.