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Quantitative Risk Modelling Specialist
1 week ago
The Asset Liability Management (ALM) Modelling team at Scotiabank is seeking a highly skilled Quantitative Risk Modelling Specialist to join our team of experts. As a key member of our team, you will play a critical role in the development of robust ALM risk models for structural interest rate risk (SIRR) in the banking book, customer behaviour, macroeconomic factors, and internal capital models.
Your primary responsibilities will include:
- Taking a hands-on role in the development of ALM risk models, communicating with model users, risk teams, business lines, and technology to understand model purpose, usage, and implementation.
- Assisting team members with various ad-hoc analyses, model development, documentation, reporting, and preparation of reports.
- Developing new models and enhancing existing models, typically in Python, preparing model documentation and implementation, and supporting the model validation process and ongoing maintenance of models.
- Executing model runs on a regular basis for reporting and performing corresponding analyses, following documented protocols.
We are looking for a candidate with a solid quantitative background, problem-solving skills, and a keen interest in Finance, Economics, Derivatives or Retail Products, and Regulations. Advanced degree in a mathematics, economics, or scientific discipline is required. Knowledge of asset liability management and modelling experience in risk management is an asset. Proficiency in Python programming is essential.
