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Title:  Director, Market Risk Measurement & Model Development

 

 

 

Requisition ID: 68947

 

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

 

 

Purpose

As part of Scotiabank Global Risk Management, the Market Risk Measurement (MRM) group is at the forefront of developing risk measures in response to current regulatory changes and risk management initiatives. The group is responsible for market risk and counterparty credit risk models methodology, development, support as well as for internal and external reporting to regulators. These are core models for the Bank, being used to assess risk, make strategic decisions about future business directions, and to assess capital adequacy. MRM played a key role for Scotiabank to become the first bank in Canada to receive approval for an Internal Model Method (IMM) for Counterparty Credit Risk. MRM is leading the Bank’s efforts for the Fundamental Review of the Trading Book (FRTB).

 

The Director, Market Risk Measurement and Development oversees the Bank’s market risk model methodology and development for both standardized and modelled approaches. The successful candidate will lead new bank-wide initiatives related to the Fundamental Review of the Trading Book (FRTB) as the subject matter expert for market risk modelling approaches, drive model implementation and application to OSFI, and engage with regulators and Canadian Bankers Association (CBA) to ensure the market risk model development is aligned with most recent industry developments, regulatory changes, and best-practices.   

 

Major Accountabilities

- Market Risk Measurement and Development Team Lead – Primary team lead to

  • Lead a team of ten quantitative modelers responsible for the design, development and support of the Bank’s market risk models (VaR, IRC).
  • Lead current regulatory market risk initiatives related to the Fundamental Review of the Trading Book as subject matter expert for market risk modelling
  • Primary oversight over the Market Risk Modelling System including: 
    • Support changes and enhancements to market risk simulation engine to ensure it is leading with respect to evolving industry standards and methodology.
    • Ensure complete capture of all risk factors and accuracy of modelling.
    • Assist the Exposure and Capital Analytics team in the running and investigation of the daily market risk processes.
    • Work closely with IT to support system development and to help troubleshoot production issues.

 

  • Support the banks Internal Model Approach for Market Risk Capital. Provide feedback on regulatory initiatives through the Canadian Bankers Association and ISDA working groups. Support downstream capital reporting and impact analysis as needed.
  • Drive the Bank’s internal market risk practices and policies and collaborate with stakeholders in Trade Floor Risk Management and Business lines.
  • Provide senior management, stakeholders and OSFI with analysis, opinions and projected impacts for model changes and regulatory proposals.

 

- Relationship Management - Develops and maintains strategic relationships by:

  • Establish, build and maintain relationships with internal key stakeholders and departments within Risk and Global Banking;
  • Collaborate on and develop proposals including project deliverables while ensuring adherence to quality standards
  • Work effectively with a diverse working group, with varying expertise and job levels

 

- Personal Development Leadership - Manages personal (or where applicable “the team’s”) development to ensure knowledge and skills are continually enhanced by:

  • Keep abreast of regulatory standards and business short- and long-term initiatives, and how these may impact market risk capital; 
  • Contribute to a high-performance environment and develop and motivate self and team mates by fostering an inclusive work environment and sharing of best practices and knowledge;
  • Understand how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions;
  • Build a high-performance environment and implement a people strategy that attracts, retains, develops and motivates their team by fostering an inclusive work environment; communicating vision/values/business strategy and managing succession and development planning for the team.
  • Conduct staff hiring, mentoring, career development planning, succession planning and performance review

 

Dimensions

- Span of Control:

  • Collaborates directly with various stake holders to understand the business needs.
  • Represents Scotiabank in meetings and activities where other financial institutions and departments participate.

 

- Responsible for a team that supports:

  • Market Risk Capital Model Development
  • Methodology development for Market Risk measurement
  • Support of standardized market risk approaches and aggregation
  • Support impact analysis for new business initiatives and regulatory changes

 

- Scope:

The Director plays a central role in overseeing ongoing planning, development, and enhancement of the market risk capital and analytics framework. Reporting to the Vice President, Market Risk Measurement, she/he will be able to lead a team of highly performing risk managers and quantitative developers to meet evolving regulatory changes and business strategies.

The incumbent will ensure that market risk exposure is accurately measured by the Bank's market risk models and ensure models are developed according to regulatory standards. This is facilitated by the interaction with other market risk managers and business lines across the Bank to implement the development of quantitative and qualitative risk solutions.

 

Education / Experience / Other Information

Required:

  • Graduate degree in Mathematics, Finance, Statistics, Physics, Engineering or other quantitative areas
  • Previous working experience in finance. The candidate is expected to have extensive knowledge of capital markets, the full range of financial products and derivatives and their pricing models, and corresponding risk modelling for market or counterparty credit risk.
  • Ability to develop and maintain relationships with business leaders to support objectives and influence a diverse group of stakeholders to jointly develop effective and realistic strategies.
  • Excellent verbal, written communication, and presentation skills are essential.
  • People management experience and coaching skills is required.
  • Strong programming skills in Python, Unix scripts, and/or other formal programming language
  • Ability to prioritize and multi-task in a fast-paced environment with daily reporting responsibilities
  • Desired:
  • Possess demonstrated track record in strong leadership and strategic influencing capabilities, supported by well-developed analytical and strategic thinking competencies.
  • Proven ability to lead/drive rapid and significant change.
  • Knowledge of FRTB and regulatory capital and RDARR requirements
  • Knowledge of accounting concepts for derivatives and SFT products

 

Working Conditions

The incumbent works in a standard office environment under occasional stressful conditions.  Due to the complexity of measurements and models, problems arise frequently which the incumbent must resolve within tight deadlines.

The incumbent uses a laptop or workstation for a substantial part of the day.

 

 

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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