Job Description

Requisition ID: 158181

Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.
Counterparty Credit Risk Measurement group supports Scotiabank’s derivative trading business lines by providing accurate and timely calculations of Counterparty Credit Risk (CCR) measures: Potential Future Exposure, Credit Value Adjustment, Funding Value Adjustment, Regulatory and Economic Capital. Our award-winning CCR project covers a vast range of derivative products: Commodity, Interest Rates, Equity, Foreign Exchange, Credit and others. The group is looking for a member with strong programming and quantitative skills, and a demonstrated interest in financial industry modeling.
Position Description The primary responsibilities will include:

• Support trading desks in risk and profit/loss attribution calculations
• Design algorithms and approaches needed to achieve an order of magnitude improvement in our systems performance
• Develop and maintain processes supporting CCR calculations.
• Research, propose and implement enhancements to the CCR framework.
• Support migration of new derivative products into CCR system.

Position Qualifications

• Strong quantitative and problem solving skills.
• Independence in managing and pushing forward projects
• Knowledge of CCR measures and OTC derivatives
• Hands-on experience with scripting languages (Python or alike) and C++ (or other OO languages)
• Experience with UNIX or Linux operating systems.
• Experience with mathematical models and their implementation.

Education

• An advanced degree in Physics, Math, Computer Science or Engineering or Master’s degree in Quantitative Finance disciplines (MMF, MQF, or similar).

Location(s): Canada : Ontario : Toronto

Scotiabank is a leading bank in the Americas. Guided by our purpose: "for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.

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. 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.