Market Risk Measurement Senior Manager
4 weeks ago
Requisition ID: 203641
Scotiabank's Global Risk Management team is seeking a Senior Manager, Market Risk Measurement to join our Counterparty Credit Risk (CCR) Capital analytics team. As a key member of this team, you will be responsible for delivering reporting, analytics, and insights to the Bank's non-retail business lines.
Key Responsibilities:
- Assist the director in developing the overall work plan for CCR (OTC and SFT) and CVA capital process, including monitoring and addressing any issues that impact the CCR/CVA capital value.
- Provide guidance and supervise staff to deliver work assignments.
- Collaborate with front-office, technology, and all users to assist investigations.
- Develop and automate control processes to identify data challenges affecting the accuracy of CCR/CVA capital, and collaborate with data governance teams to drive CCR data issues resolution.
- Develop and implement analytics dashboards through the Power BI framework for CCR/CVA capital reporting and drilldown investigation tools for the capital values.
- Assist business lines in any ad-hoc/one-off capital analysis and in comprehending CCR/CVA capital calculation.
- Perform detailed quantitative and technical reviews of capital processes with minor guidance, including responsibility for creating the end-to-end capital process, researching appropriate statistical/mathematical technical tests, undertaking research and development of new techniques, coding/programming to assess various aspects of model performance.
- Comply with internal policies, procedures, and regulatory requirements where applicable.
- Provide active and direct assistance to resolve outstanding audit and regulatory issues and to respond to ad-hoc senior management and regulatory requests.
Requirements:
- 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, or counterparty credit risk modeling.
- 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 comprehension of various modeling techniques and comfort conducting 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.
- Ability to manage efficiently multiple priorities, attention to detail, and ability to work independently or in teams, consensus-building ability.
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