Manager, Market Risk Model Development (Contract)

Scotiabank•Toronto, ON

6d•Onsite

About The Position

As the Market Risk Model Development (MRMD) team, we are an established leader in risk methodologies with many awards and several firsts in the Canadian banking sector. We prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and played a key role in Scotiabank becoming the first bank in Canada to receive regulatory approval. As part of this, we have provided major contributions to discussion with regulators on changes that increase the financial stability of banking systems world-wide. We are looking for people and talent that will help us drive these large-scale initiatives forward and work alongside our diverse team of quants, data scientists and developers and collaborate with our many stakeholders across Scotiabank. This role is ideal for a person with quantitative modeling background who is keen to help in bank-wide projects that require a high degree of communication and stake-holder management. This is also good starter role for someone with a strong quantitative background with proven interest in Finance, Economics, Derivatives, or Risk Management via reading and self-education. As the Manager, Market Risk Model Development, you will support the bank’s model development for VaR and the Fundamental Review of the Trading Book (FRTB). You will have opportunities to develop risk models to support new products and business, and collaborate extensively with other risk teams, business lines, and trading functions.

Requirements

Solid quantitative background and problem-solving skills with a keen interest in Finance, Economics, Market Risk, Derivatives Pricing, Risk management or Regulations.
Advanced degree in a mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.).
Experience in code development in Python, or other formal programing (e.g. C/C++, etc.), will be important to support day-day activity.
Effective oral and written communication skills, specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations.

Nice To Haves

Master’s degrees or PhDs are a bonus.

Responsibilities

Take a hands-on role in various high-profile projects, including VaR, Fundamental Review of the Trading Book (FRTB), and so on.
Prototype new approaches and enhance existing methodologies to advance market risk measurements.
Develop production level code and collaborate with IT team for integration into daily bank processes.
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.
Communicate with model users, trading desks, risk teams, and business lines to enhance models and ensure correct use of models.
Become an active member of the team including our D&I initiatives and communities.