Quantitative Finance Associate

2 weeks ago

Toronto, Ontario, Canada Scotiabank Full time

Requisition ID: 210521.

Global Banking and Markets (GBM) is a leading Canadian Capital Markets and Investment Banking business with a growing platform in the US and Latin America, operating globally for over 100 years. Scotiabank's strong U.S. presence provides our clients an important bridge to this key global market for trade and investment flows across the Americas and the world.

Global Analytics and Financial Engineering is a critical function within the Bank's Global Banking and Markets division. The modelers in the department provide the models for pricing and risk management across the business lines. The models developed by the department are used for pricing, hedging, internal and external capital, and trading limits.

Responsibilities:

  • Ensure newly developed models or changes to existing models to meet regulatory requirements (e.g., risk sensitivities, residual risk add-ons, etc.) for FRTB capital calculations.
  • Conduct ongoing performance monitoring of front-office pricing models.
  • Streamline ongoing monitoring processes.
  • Conduct testing and ongoing monitoring of the initial margin model implemented at the Bank.
  • Prepare timely responses to requests from regulatory bodies and/or auditors around model performance monitoring and initial margin computation.
  • Provide subject matter expertise to internal stakeholders regarding ongoing monitoring, initial margin, or other regulatory model usage.

Requirements:

  • Doctorate or Master's degree in quantitative finance, mathematics, computer science, physics, or other quantitative areas.
  • 1-3 years' experience in a relevant area such as model validation, regulatory projects, model governance or other relevant areas.
  • Demonstrable knowledge of numerical methods and computational modelling: for example, finite difference / finite element, Monte Carlo simulation, optimization, artificial intelligence.
  • Strong programming skills in C++ or Python and the willingness to learn other programming languages.
  • Knowledge of ISDA Standard Initial Margin Model (SIMM) is considered an asset.
  • Strong organizational, analytical skills and attention to detail are a must.
  • Excellent verbal and written communication and interpersonal skills.
  • Ability to work collaboratively in a fast-paced environment.

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