Manager - Counterparty Credit Risk Measurement

Requisition ID: 231817 Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture. Excited about creating a safer financial world by using your mathematical/analytical/modelling skills and finance/risk knowledge to solve complex problems and developing sophisticated risk measurement processes? - Join us 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 build internal models, risk frameworks, and systems for Counterparty Credit Risk, Market Risk, and Liquidity Risk Measurement. We prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and contribute to discussion with regulators on changes that increase the financial stability of banking systems world-wide. MRM 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 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?** As a member of the**Counterparty Credit Risk Measurement team, you will work with the Bank’s Counterparty Credit Risk (CCR) systems, which includes measurement of Potential Future Exposure (PFE), IMM capital and xVA pricing. The team is at the forefront of new bank-wide initiatives related to CCR system - and model enhancements with exposure to many stakeholders from business and risk functions. You will drive model implementation, collaborate with front-office and credit-risk officers, support existing models, and engage with regulators and Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with most recent industry developments, regulatory changes, and best-practices. **In this role, you will**: - Take a leading and hands-on role in high-profile projects involving Potential Future Exposure (PFE), Internal Model Method for CCR (IMM) capital, CVA and FVA calculations (XVAs). - Design and implement algorithms and models for the CCR Monte Carlo engine which measures PFE, IMM capital and XVAs. Development and implementation of processes is typically completed in Python with close collaboration with stakeholders in IT to promote models into production. - Communicate with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models. - Work on various ad-hoc analyses, model development, documentation, reporting, preparation of materials. - Execute model runs on a regular basis for reporting and perform corresponding analyses. - Manage a team of 2-3 highly trained quantitative analysts at manager level. **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 in mathematical finance and strong problem-solving skills with a keen interest in Capital Markets, Derivatives and Complex Financial Products, Quantitative Risk management and Financial Regulations. - Advanced degree in a mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master’s degrees or PhDs are preferred. - Advanced knowledge of industry wide methods for Counterparty Credit Risk calculations with +2 years of experience in quantitative finance roles. Ability to manage a small team of highly trained quantitative analysts at manager level. Ability to lead a working group of specialists to develop solutions for complex problems related to CCR measurement. - Python programing and experience with working on UNIX/Linus Environment are essential. Experience in other Object-Oriented programing is a bonus. - Effective communication and 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. - We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success 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