Data Scientist, Market Risk Model Design

Desjardins • Montreal, QC

1d • Hybrid

About The Position

The Capital Markets Data Valorization Team is looking for a data scientist to join the dynamic market risk model design team, which works closely with the middle office and data validation team. You will help implement and document the methodology for models related to derivatives, market risk metrics (VaR, stress tests) and regulatory frameworks (FRTB, SIMM, ICAAP). The position requires a solid technical foundation, strong learning, collaboration and communication skills, and an analytical mindset so you can effectively support the team’s work and participate in ongoing initiatives.

Requirements

• Bachelor’s degree in finance, financial engineering or a related field
• A minimum of two years of relevant experience, ideally in a market risk management or financial market environment, including experience working with a middle office, modelling team or model validation team
• Experience with at least one risk system, such as Murex, MSCI RiskMetrics or FIS Adaptiv
• Knowledge of French is required
• Advanced proficiency of English due to the nature of the duties or work tools or because the position involves interactions with English-speaking partners, members and/or clients
• Advanced Excel skills
• Practical knowledge of programming languages such as Python, SQL and other relevant languages

Nice To Haves

• Other combinations of qualifications and relevant experience may be considered

Responsibilities

• Help draft and update methodological documentation for derivatives and market risk models.
• Help update and document quantification methodologies for risk metrics (VaR, stress tests) and regulatory frameworks (FRTB, SIMM, ICAAP), according to the established standards.
• Help review model inputs and components, in collaboration with stakeholders.
• Help implement new products in risk systems (Murex, MSCI RiskMetrics, FIS Adaptiv).
• Participate in workshops to formalize model needs and support their implementation.
• Contribute to the development of risk modelling practices through analysis, proposals and exploratory work.

Benefits

• Competitive salary and annual bonus
• 4 weeks of flexible vacation starting in the first year
• Defined benefit pension plan that provides predictable, stable income throughout retirement
• Group insurance including telemedicine
• Reimbursement of health and wellness expenses and telework equipment

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level