Senior Manager, ALM Risk Modelling

Scotiabank • Toronto, ON

2d • Onsite

About The Position

We are responsible for modelling the interest rate risk of all assets and liabilities on Scotiabank’s balance sheet, directly impacting the Bank’s rate positioning and FTP. Our team brings together quantitatively minded professionals with diverse backgrounds in mathematics, statistics, physics, and computer science to foster creative approaches to customer behaviour modelling, such as mortgage prepayment and deposit behaviour.

Requirements

• Graduate degree in physics, engineering, statistics, or other quantitative discipline, or commensurate experience
• Experience building a statistical or mathematical model
• The ability to distill complex ideas into simple terms to support decision making
• A software engineering mindset is essential for our work.

Nice To Haves

• Knowledge of structural interest rate risk modelling, ALM, or derivatives pricing is a bonus
• Python programming is a bonus

Responsibilities

• Take a balance sheet position and model it from start to finish, using historical and exogenous data to support calibration
• Liaise with our business counterparts to understand the nuances of behavioural components and options risk to support development of bespoke models.
• Work with local and international business units to review datasets
• Regularly present model analysis and proposals to stakeholders and senior management
• Design and code models following software best practices to ensure optimal use of computing resources, streamlining operations and maintenance

Benefits

• A rewarding career path with diverse opportunities for professional development
• An organization committed to making a difference in our communities — for you and our customers.
• A competitive rewards program that includes an annual bonus, flexible vacation, personal and sick days, and comprehensive benefits that start on your first day.
• Diversity, Equity, Inclusion & Allyship — We strive to create an inclusive culture where every employee is empowered to reach their fullest potential, respected for who they are, and embraced through bias-free practices and inclusive values across Scotiabank. We embrace diversity and provide opportunities for all employees to learn, grow, and participate through our various Employee Resource Groups (ERGs), which span diverse gender identities, ethnicities, races, ages, abilities, and veteran statuses.
• Accessibility and Workplace Accommodations — We value the unique skills and experiences every individual brings to the Bank and are committed to creating and maintaining an inclusive and accessible environment for everyone. Scotiabank continues to locate, remove, and prevent barriers so that we can build a diverse and inclusive environment while meeting accessibility requirements.

What This Job Offers

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