Manager, Counterparty Credit Risk - One Year Contract
Requisition ID: 86866
Join the Global Community of Scotiabankers to help customers become better off. Counterparty Credit Risk Measurement Group
supports Scotiabank's derivative trading business lines by providing accurate and timely calculations of Counterparty Credit Risk (CCR) measures: Potential Future Exposure, Credit Value Adjustment, Funding Value Adjustment, Regulatory and Economic Capital. The group is looking for a member with strong programming and quantitative skills, and a demonstrated interest in financial industry modeling. Our award-winning Counterparty Credit Risk project covers a vast range of derivative products: Commodity, Interest Rates, Equity, Foreign Exchange, Credit and others. What you'll do in this role?
What we're looking for?
- Support trading desks in risk and profit/loss attribution calculations.
- Develop, improve and maintain processes supporting risk and profit/loss attribution calculations.
- Design algorithms and processes to improve stability and performance of our systems.
- Develop and maintain processes supporting CCR calculations.
- Research, propose and implement enhancements to the CCR framework.
- Support migration of new derivative products into CCR system.
This position is a one year contract role, located downtown Toronto King St W.
- Knowledge of Counterparty credit risk measures and OTC derivatives
- Hands-on experience with scripting languages (Python or alike) and C++ (or other OO languages)
- An advanced degree in Physics, Math, Computer Science or Engineering or Master's degree in Quantitative Finance disciplines (MMF, MQF, or similar).
- Strong quantitative and problem solving skills.
- Experience with mathematical models and their implementation.
- Independence in managing and pushing forward projects
- Experience with UNIX or Linux operating systems
Location(s): Canada : Ontario : Toronto
As Canada's International Bank, we are a diverse and global team. We speak more than 100 languages with backgrounds from more than 120 countries. Our employees are committed to a superior customer experience and use the Bank's six guiding sales practice principles to ensure they act with honesty and integrity.
At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here . Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted. Job Segment:
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