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Senior Quantitative Risk Analyst, CCR Capital Analytics
2 months ago
About Scotiabank
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.
We are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation during the recruitment and selection process, please let our Recruitment team know.
About the Role
The Counterparty Credit Risk (CCR) Capital analytics team specializes in regulatory capital for Counterparty Credit Default risk and Credit Value Adjustment. We are looking for a highly skilled Senior Quantitative Risk Analyst to join our team in Toronto.
As a Senior Quantitative Risk Analyst, you will work on development, maintain the Bank's CCR capital system, and be responsible for reporting and corresponding analysis. You will report CCR and CVA capital timely with quality on a periodic basis, collaborate with front-office, technology, and all users to support investigations, monitor and escalate any issues impact on the CCR/CVA capital value.
You will develop and automate control processes to identify data challenges affecting accuracy of CCR/CVA capital, collaborate with data governance teams to drive CCR data issues resolution, and develop and implement analytics dashboard through the Power BI framework for CCR/CVA capital reporting and drilldown investigation tools for the capital values.
Key responsibilities include:
- Perform detailed quantitative and technical review capital process, including responsibility of designing the end-to-end capital process, research on appropriate statistical/mathematical technical tests, undertaking research and development of new techniques, coding/programming to analyze various aspects of model performance.
- Comply with internal policies, procedures, and regulatory requirements where applicable.
- Provide active and direct support to resolve outstanding audit and regulatory issues and to respond to ad hoc senior management and regulatory requests.
Requirements
We are seeking a highly skilled and experienced Senior Quantitative Risk Analyst with advanced degree in Mathematics, Statistics, Econometrics, Physics, Computer Science, Financial Mathematics, or Financial Engineering (Master or above). Industry certification or credentials will be an asset.
Required skills and qualifications include:
- Familiarity with derivative pricing model theory, counterparty credit risk modeling, market data, and experience in modeling including the valuation and capital models, or counterparty credit risk modeling.
- Familiarity with various trading products including IR, FX, Equity, Commodity, SFT, etc.
- Excellent written and presentation skills to provide advice and explanation to various users.
- Sound understanding of various modelling techniques and comfortable to conduct various tests.
- Proficient computing skills in SQL, Python, Unix bash scripting.
- Knowledge of databases and BI tools (especially MS Power BI) is an asset.
- Ability to manage efficiently multiple priorities; attention to detail and ability to work independently or in teams; consensus-building ability.
About the Opportunity
This is a rewarding career path with diverse opportunities for professional development. We offer internal training to support your growth and enhance your skills. Our inclusive working environment encourages creativity, curiosity, and celebrates success.
Our salary for this position is approximately $95,000 - $140,000 per annum, depending on experience.
Location
This role is based in Toronto, Canada.
About Us
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank. If you require accommodation during the recruitment and selection process, please let our Recruitment team know.
