Manager, Market Risk Measurement and Model Development Manager, Market Risk Measurement and Model  …

Scotiabank
in Toronto, ON, Canada
Permanent, Full time
Last application, 08 Jul 20
Competitive
Scotiabank
in Toronto, ON, Canada
Permanent, Full time
Last application, 08 Jul 20
Competitive
Manager, Market Risk Measurement and Model Development
Requisition ID: 83268

Join the Global Community of Scotiabankers to help customers become better off.

Purpose of Job
Within the MRM team, this role will assist in the development of models for market risk and market risk data analytics, used for regulatory capital and with a view towards the global FRTB initiative. The candidate will also have the opportunity to develop risk models to support new products and business and collaborate extensively with other risk teams, business lines, and trading function.

Major Accountabilities

Risk Model Methodology - Team member in larger market risk team to
  • Support current regulatory market risk initiatives related to the Fundamental Review of the Trading Book and develop subject matter expertise for market risk modelling.
  • Prototype new approaches to support market risk measurements and market data analytics. Develop production level code and collaborate with IT team for integration into daily bank processes.
  • Support the banks Internal Model Approach for Market Risk Capital and support downstream capital reporting and impact analysis as needed.
  • Develop supportive documentation for procedures, analysis, methodology.
  • Collaborate and interact with a variety of stakeholders including senior management, internal risk teams and trading desks.

Personal Development - Ensure own personal development to:
  • Keep abreast of modeling approaches, quantitative methodologies, data science, industry trends;
  • Stay current on programming and code development standards, tools and languages
  • Contribute to a high-performance environment and develop and motivate self and team members by fostering an inclusive work environment and sharing of best practices and knowledge.

Education / Work Experience / Designations
  • Exceptional problem-solving skills
  • Graduate degree in Mathematics, Finance, Statistics, Physics, Engineering, Computer Science or other quantitative areas
  • Existing knowledge or at minimum a keen interest in capital markets products, derivative pricing, and corresponding risk modelling for market or counterparty credit risk.
  • Excellent verbal and written communication skills and presentation skills are essential.
  • Strong programming skills in any of the following: Python (especially numpy, pandas, IPython notebook), Unix scripts, VBA, SQL, C++ and/or other formal programming language
  • Ability to prioritize and multi-task with ability to make progress on multiple projects concurrently
Desired:
  • Experience in financial engineering, market risk or risk management
  • Exposure to data science, statistical Analysis skills and ability to manipulate large amounts of data
  • Independent research experience or track record of high impact work in quantitative discipline

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.

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