Manager, Model Validation - Market Risk Capital/Counterparty Credit Risk Models

Requisition ID: 69252

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

Purpose of Job

The Model Validation & Approval area provides independent and consistent model validation and approval across various risk types, including market risk, credit risk, operational risk, treasury, capital models and other key risk/financial models.

The Manager will provide support to the Sr. manager or director by providing subject matter expertise in model validation on various types of models, and is primarily responsible for the validation market risk capitals, counterparty credit risk capital models and stress testing to ensure the overall measurement soundness. This includes collaboration with model development team, technology units to ensure models and methodologies are appropriate given our overall framework and regulatory requirements.

Key Accountabilities

• Assist Director/Sr. Manager to validate market risk capital models, counterparty credit risk capital models and market risk related stress testing model.
• Manage the validation projects independently; provide subject matter expertise, responsible for designing the validation framework, including research on appropriate statistical / mathematical technical tests.
• Undertake research and development of new validation techniques
• Responsible for the review of all necessary documentation related to validation assignments, including reviewing documentation of work assignments under the incumbent's supervision; ensure accuracy and completeness of archived information and related documentation to allow independent third party review of the validation work performed
• Manage relationship with key contacts as identified for each validation request submission
• Comply with internal policies, procedures and regulatory requirements where applicable
• Provide active and direct support to resolve outstanding audit and regulatory issues and to respond to ad hoc senior management and regulatory requests
• Provide reports for the summary of findings and recommendation to Sr. Management

Functional/Educational Competencies

• Advanced degree in Mathematics, Statistics, Econometrics, Physics, Computer Science, Financial Mathematics, Financial Engineering (Master or above, Ph.D.preferred)
• Must have knowledge of the derivative pricing model theory, counterparty credit risk modeling, market risk capital modeling, market data etc.
• Familiar with various trading products including IR, FX, Equity, Commodity etc.
• Work experience in market risk modeling including the valuation and capital models, or counterparty credit risk modeling is preferred
• Strong written and verbal communication skills
• Proficient computing skills required in Matlab, C++, Python
• Industry certification or credentials will be an asset (e.g. CFA, FRM)

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. 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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