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Quantitative Risk Analyst

1 month ago

Old Toronto, Canada Scotiabank Full time
Market Risk Measurement Specialist Job Summary

Scotiabank is currently seeking a highly skilled Market Risk Measurement Specialist to join their Global Risk Management team. As a key member of the Counterparty Credit Risk (CCR) Capital analytics team, you will be responsible for delivering timely and high-quality reporting, analytics, and insights to the Bank's non-retail business lines.

The successful candidate will have expertise in regulatory capital for Counterparty Credit Default risk and Credit Value Adjustment. They will work closely with the team to develop, maintain, and enhance the Bank's CCR capital system, ensuring accurate and reliable reporting and analysis.

Key responsibilities will include:

  • Reporting CCR and CVA capital on a periodic basis with a focus on quality and timeliness
  • Collaborating with front-office, technology, and all users to support investigations and issue resolution
  • Monitoring and escalating any issues impacting the CCR/CVA capital value
  • Developing and automating control processes to identify data challenges affecting accuracy of CCR/CVA capital
  • Collaborating with data governance teams to drive CCR data issues resolution
  • Developing and implementing analytics dashboards through the Power BI framework for CCR/CVA capital reporting and drilldown investigation tools
  • Assisting business lines with ad-hoc capital analysis and understanding CCR/CVA capital calculation
  • Performing detailed quantitative and technical review of capital processes, including designing end-to-end capital processes, researching statistical/mathematical techniques, and coding/programming to analyze various aspects of model performance
  • Complying with internal policies, procedures, and regulatory requirements
  • Providing active and direct support to resolve outstanding audit and regulatory issues

Requirements for success in this role include:

  • Advanced degree in Mathematics, Statistics, Econometrics, Physics, Computer Science, Financial Mathematics, or Financial Engineering (Master or above, Ph.D. preferred)
  • Knowledge of derivative pricing model theory, counterparty credit risk modeling, market data, and experience in modeling including valuation and capital models
  • Familiarity with various trading products, including IR, FX, Equity, Commodity, and SFT
  • Excellent written and presentation skills to provide advice and explanation to various users
  • Sound understanding of various modelling techniques and ability to conduct various tests
  • Proficient computing skills in SQL, Python, and Unix bash scripting
  • Knowledge of databases and BI tools, especially MS Power BI, is an asset

Scotiabank offers a dynamic and inclusive work environment, with opportunities for professional growth and development. If you are a motivated and detail-oriented individual with a passion for risk analysis, we encourage you to apply for this exciting opportunity.