XVA Quant

4 weeks ago


Toronto, Canada Scotiabank Full time

XVA Quant, Associate Director, Global Banking and Markets - Toronto, ON

Global Banking and Markets: 


Global Banking and Markets (GBM) is a leading Canadian Capital Markets and Investment Banking business with a growing platform in the US and Latin America, operating globally for over 100 years. Scotiabank’s strong presence provides our clients an important bridge to this key global market for trade and investment flows across the Americas and the world.


Global Banking & Markets provides a full range of investment banking, credit and risk management products and services relevant to the financing and strategic development needs of our clients. Our products include debt and equity financing, mergers & acquisitions, corporate banking, institutional equity sales, trading and research, fixed income products, derivatives, energy, foreign exchange and precious & metals. We also cross-sell the full range of wholesale products and services offered by the Scotiabank Group.

Be part of an innovative, Global Capital Markets and Investment Banking business with a unique geographic footprint that puts capital to work for our clients across industries We work together to drive ambition for every future

Purpose:

Contributes to the overall success of the Global Analytics and Financial Engineering in Canada ensuring specific individual goals, plans, initiatives are executed / delivered in support of the team’s business strategies and objectives. Ensures all activities conducted are in compliance with governing regulations, internal policies and procedures.

What you'll do:

Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems and knowledge. Develop efficient and robust trade valuation adjustment (XVA) front office pricing model using advanced technologies, which improves business resiliency, efficiency and competitiveness by the delivery of high quality, thoroughly tested implementations.  Provide timely and insightful analytics for the XVA trading desk and risk management teams by investigating and explaining results from the XVA system. Ensure the smooth operations of the XVA platform by closely collaborating with technology partners. Improve the XVA process by identifying and taking initiatives to productionize the enhancements. Forms a close partnership with the business to deliver models and analytics to production from end to end with limited supervision. Keep oneself current on the advancements of models and related technology, and proactively introduces these advancements into the bank. Understand how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions. Actively pursues effective and efficient operations of their respective areas in accordance with Scotiabank’s Values, its Code of Conduct and the Global Sales Principles, while ensuring the adequacy, adherence to and effectiveness of day-to-day business controls to meet obligations with respect to operational, compliance, AML/ATF/sanctions and conduct risk. Champions a high performance environment and contributes to an inclusive work environment.

Position Highlights:

Global Analytics and Financial Engineering is a critical function within the Bank’s Global Banking and Markets (GBM) division. The derivatives valuation models and analytics developed by the team are used globally for pricing, hedging, risk management, trading limits and capital. The accuracy and the performance of these models have a direct impact on GBM’s competitiveness and profitability. The reliability and the robustness of the analytics enable the business to view and hedge risks efficiently. This includes design and prototype of new models and model components for XVA. Also, working alongside other key stakeholders in business, IT and Risk to support the integration of the library into the wider XVA platform.


What you'll bring :

PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas 3+ years’ experience in XVA models Good knowledge in at least one of the main asset classes such as rates derivatives, credit derivatives, etc.  Familiar with capital market trading practice and regulatory requirements  Good knowledge of financial mathematics and modelling  Solid background in Monte-Carlo and stochastic calculus  Very good communication and interpersonal skills and a team player  Ability to work well in a fast-paced environment with changing priorities 


Working Conditions:

This position is currently a Hybrid role, with the expectation that you will work three days a week in the office. Please note that this is subject to change based on the needs of the business. #LI-Hybrid

Interested?:

At Scotiabank, every employee is empowered to reach their fullest potential, respected for who they are and, embraced for their differences. That’s why we work to grow and diversify talent and engage employees in a performance-oriented culture. 

What's in it for you?:

Scotiabank wants you to be able to bring your best self to work – and life, every day. With a focus on holistic well-being, our many flexible benefit programs are designed to help support your unique family, financial, physical, mental, and social health needs.



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