Manager, Market Risk Measurement

Requisition ID: 168357 Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture. As the Market Risk Measurement (MRM) team, we are an established leader in risk methodologies with many awards and several firsts in the Canadian banking sector: We prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and played a key role in Scotiabank becoming the first bank in Canada to receive regulatory approval for using Internal Model Methods (IMM) for Counterparty Credit Risk. We guide modelling effort for both Interest Rate Risk in the Banking book (IRRBB) and the Fundamental Review of the Trading Book (FRTB). As part of this, we have provided major contributions to discussion with regulators on changes that increase the financial stability of banking systems world-wide. We are looking for people and talent that will help us drive these large-scale initiatives forward and work alongside our diverse team of quants, data scientists and developers and collaborate with our many stakeholders across Scotiabank. **_ Is this role right for you? Two options:_** As part of the Bank’s central Asset Liability Management (ALM) Modelling team, you will be responsible for the development of the Bank’s methodologies to accurately measure ALM risk. These are high-profile models which receive considerable attention from senior management and provide key inputs for managing interest rate risk in the banking book. Or Do you have software engineer background? We do have a role for a person with computer science or software engineering background, who knows Unix Shell scripting, Python, docker, object orientated programming, memory utilization, and process optimization, postgress or other relational databases, CI/CD pipeline and tools. As part of the ALM modelling team, you will be responsible for supporting model operational runs for reporting, designing and implementing models to optimize model for utilization of memory and space, to ensure fidelity between runs to generate a consistent results, to proper archive and versioning the results, to re-think the overall process from a single run to an incremental process in order to cut down on redundant functions, supporting other model developers in gathering and maintaining data sets, and coordinating with infrastructure to ensure all environments are functional. **_ In this role, you will:_** - Take a hands-on 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. Communicate with model users, risk teams, and business lines to understand model purpose and usage. - Assist team members for various ad-hoc analyses, model development, documentation, reporting, preparation of materials. - Develop new models or enhance existing models, typically in Python. Alongside, you will prepare model documentation and implementation, as well as support the model validation process and ongoing maintenance of models. - Execute model runs on a regular basis for reporting and perform corresponding analyses. - Become an active member of the team including our D&I initiatives and communities. **_ Do you have the skills that will enable you to succeed in this role?_** - We'd love to work with you if you have: - Solid quantitative background and problem-solving skills with a keen interest in Finance, Computer Science, Software Engineering, Data Science, Economics, Derivatives or Retail Products, and Regulations. - Advanced degree in a mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, Computer Science etc.). Master’s degrees or PhDs are a bonus. - Knowledge of asset liability management and modelling experience in risk management, e.g. experience of structural interest rate risk modelling, is a bonus. - Python programing is essential. Experience in other Object-Oriented programing is a bonus. - Effective communication and specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations. Experience in managing and pushing forward projects. **_ What’s in it for you?_** - The opportunity to join a forward-thinking company surrounded by a collaborative team of innovative thinkers. - A rewarding career path with diverse opportunities for professional development. - Internal development to support your growth and enhance your skills. - A competitive compensation and benefits package. - An organization committed to making a difference in our communities - for you and our customers. Location(s): Canada : Ontario : Toronto 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, including personal and commercial banking, w