Senior Manager, Counterparty Credit Risk Measurement, Market Risk Measurement
Scotiabank
- Toronto, ON
- Permanent
- Full-time
- Take a prima 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.
- Socialize with model users, trading desks, trade floor risk management, and business lines to enhance models and ensure correct use of models.
- Assist team members for various ad-hoc analyses, model development, documentation, reporting, preparation of materials.
- 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.
- Manage a team of 2-3 highly trained quantitative analysts at manager level.
- 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.
- Knowledge of industry wide methods for Counterparty Credit Risk calculations or experience with CCR management.
- 2 to 5 years of experience in quantitative finance roles. Ability to manage a small team of highly trained quantitative analysts at manager level.
- 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 relish working in collaborations. Experience in managing and pushing forward projects.
- 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 assist your growth and enhance your skills.
- A diligent compensation and benefits package.
- An organization acted 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!