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Director Market Risk Valuation, Toronto, ON

Date: Jun 24, 2019

Location: Toronto, ON, CA

Company: Scotiabank






Requisition ID: 61730


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


Purpose of Job:

The Model Validation & Approval area within Global Model Risk Management provides independent and consistent model validation and approval across various risk types, including market risk, credit risk, operational risk, asset/liability risk management, and other key risks. Types of model covered include models used for derivative pricing/valuation, capital models, and other models used for financial reporting and risk management.

This position is for the Director role that oversees validation of market risk valuation models used for pricing/valuation of derivative products used in the Bank's capital markets business.


Key Accountabilities:

  • Lead a team of more than 10 highly quantitative staff in managing a portfolio of new and existing models used for valuation of derivative products, including models for XVA purposes (i.e., CVA, FVA)
  • Oversee day-to-day validation activities, review validation work and reports produced by staff, provide feedback for coaching/development, and provide model approval recommendations to the department head and the model approving committee.
  • Develop validation work plan, prioritize validation assignments and manage timelines for special projects/initiatives.
  • Manage the validation team in executing the work plan; manage resources, including identifying, recruiting, coaching and retaining high-quality staff.
  • Provide thought leadership to the team on conceptual and theoretical issues, as well as practical guidance for validation work.
  • Proactively manage and maintain relationships with model sponsors/owners; communicate and collaborate with all relevant stakeholders, including model owners, model users, internal and external audit.
  • Lead initiatives to improve processes related to model validation and approval, model inventory, model reserves, model limitations and model issue tracking.
  • Ensure compliance with internal policies, procedures and regulatory requirements, where applicable.
  • Manage timely resolution of audit and regulatory issues.
  • Lead and/or support regulatory requests and reviews as well as large-scale projects.
  • Collaborate with other director areas; promote exchange of validation expertise across the various work streams; actively support the integration initiatives with respect to people, process and policies across the various work streams.
  • Participate in industry forums; maintain relationships with counterparts at other financial instiutations to keep abreast of industry and regulatory developments and evolving expectations; provide ongoing peer benchmarking.


Functional Competencies:


Required Education & Experience:

  • Masters/PhD degree in a highly quantitative discipline (e.g., maths, physics, statistics, computer science, etc).
  • 5+ years of experience in pricing/valuation modelling of derivative products at a major financial institution.
  • 5+ years of experience in addressing regulatory issues and developments related to market risk modelling.
  • 3+ years of people management experience.


Required Functional & Technical Competencies:

  • Possess an in-depth understanding of derivative pricing theories and their application to interest rate, equities, commodities, FX and credit derivative products, as well exposure to XVA (CVA, FVA) methodologies.
  • Possess excellent communication skills which involve illustrating highly technical concepts using easy-to-understand language.
  • Maintain awareness of, and involvement in, regulatory and best practices developments from a wide variety of regulatory and industry bodies worldwide.
  • Possess excellent interpersonal, relationship-building, people management and coaching skills. In all these instances, significant reliance is placed on the incumbent to communicate complex issues effectively and constructively to stakeholders across business lines, and regularly to senior management.
  • Be able to handle stressful situations / environment, simultaneous tasks under multiple concurrent work streams and meet monthly / quarterly and ad-hoc deadlines.
  • Have a strong 'hands-on' orientation to modelling theory, data analysis and validation work.
  • Be able to routinely deal with multiple ongoing projects, both planned and ad hoc, and must also be able to put in personal effort required through long hours (including periodic evening/weekend work) in order to meet project deadlines.
  • Be able to keep abreast of developments in best practice through extra-curricular and person reading.


Required Behavioural Competencies:

  • Self-driven individual with demonstrated ability to lead multiple initiatives/projects and to successfully manage people.
  • Forward and independent thinking to identify emerging regulatory/market requirements on market risk analytics.
  • Team leadership skills to promote excellence in review and validation work, as well as general acceptance of, and confidence, in the outputs produced by the area.
  • Flexibility and creativity in problem solving, including strong abilities of innovation and path-finding.
  • Strong ability to devise and implement operational frameworks, processes, controls and documentation approaches for a team comprising of specialized quantitative staff.



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.

Job Segment: Risk Management, Manager, Bank, Banking, Equity, Finance, Management

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