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Title:  Manager, Migration of Brazil Portfolios to Counterparty Credit Risk Measurement Systems (Contract)




Requisition ID: 150157

Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.


Excited about creating a safer financial world by using your data, analytics, and modelling skills?  – Join us!


As the Market Risk Measurement (MRM) team, we are an established leader in risk methodologies with many awards and several firsts in the Canadian banking sector:  We prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and played a key role in Scotiabank becoming the first bank in Canada to receive regulatory approval for using Internal Model Methods (IMM) for Counterparty Credit Risk.  We currently lead the Bank’s project to implement the Fundamental Review of the Trading Book (FRTB). As part of this, we have provided major contributions to discussion with regulators on changes that increase the financial stability of banking systems world-wide.


MRM is actively involved in the Bank’s Diversity & Inclusion (D&I) initiatives representing the diverse gender, cultural and ethnic backgrounds of our team. The more diverse we are, the more balanced our approach and models will be! The team is a key contributor to Women-in-Leadership activities – we take part in enterprise-wide D&I discussions, events, and Employee Resource Groups to enhance the representation and recognition of minority groups in the bank.

We are looking for people and talent that will help us drive these large-scale initiatives forward and work alongside our diverse team of quants, data scientists and developers and collaborate with our many stakeholders across Scotiabank.


In this role, you will:

  • Take a leading role in migrating the portfolios of OTC derivatives in our Brazil subsidiary in Latin America to our strategic Counterparty Credit Risk engine, based in Monte Carlo simulations.
  • Ensure that regulatory capital in those portfolios is calculated using are OSFI approved Internal Models Method (IMM).
  • Further ensure that the Brazil portfolio is also migrated in our strategic engine for Potential Future Exposure (PFE) calculation and XVA pricing.
  • Ensure that the portfolio is priced correctly in the Monte Carlo engine, and the netting agreements with our clients are all considered appropriately.
  • Manage all test needed for the transition, as well as communications with all groups affected for the final go live.
  • Liaise as needed with all stakeholders involved. These include the Brazil and Toronto risk teams and IT systems groups, the Front Office financial engineering group and the Capital Analytics team.
  • Create all the documentation needed.


Is this role right for you?

This role has been created as part of a bank-wide initiative to optimise regulatory capital by transitioning some portfolios currently under the Standard Approach for Counterparty Credit Risk (SA-CCR) approach to the risk-sensitive Internal Models Method (IMM) approach.

Do you love to apply your data, analytic, and modelling skills to solve relevant problems? This role is ideal for a person with quantitative modeling background who is keen to help in bank-wide projects that require a high degree of communication and stake-holder management. This is also good starter role for someone with a strong quantitative background with proven interest in Finance, Economics, Derivatives, or Risk Management via reading and self-education.

As a member of the Counterparty Credit Risk Measurement team, you will work with the Bank’s Counterparty Credit Risk (CCR) systems, which includes measurement of Potential Future Exposure (PFE), IMM capital and xVA pricing. The team is at the forefront of new bank-wide initiatives related to CCR system- and model enhancements with exposure to many stakeholders from business and risk functions, including Right and Wrong Way Risk modelling and Machine Learning initiatives. You will drive model implementation, collaborate with front-office and credit-risk officers, support existing models, and engage with regulators and Canadian Bankers Association (CBA) to ensure model development and CCR management are aligned with most recent industry developments, regulatory changes, and best-practices. 


Do you have the skills that will enable you to succeed in this role? - We'd love to work with you if you have:

  • A keen interest in Finance, Economics, Derivatives, Risk management and Regulations. You like communication and stake-holder management.
  • Advanced degree in a mathematics, economics, or scientific discipline (e.g., Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master’s degrees or PhDs are a bonus.
  • Experience in Python programing or other programing will be important to support day-day activity.
  • Effective communication and specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations. Experience in managing and pushing forward projects.


What’s in it for you?

  • The opportunity to join a forward-thinking company surrounded by a collaborative team of innovative thinkers.
  • A rewarding career path with diverse opportunities for professional development.
  • Internal development to support your growth and enhance your skills.
  • A competitive compensation and benefits package.
  • An organization committed to making a difference in our communities– for you and our customers.
  • We have an inclusive and collaborative working environment that encourages creativity, curiosity, and celebrates success!


This position is located Downtown, Toronto.


Location(s):  Canada : Alberta : Calgary || Canada : British Columbia : Vancouver || Canada : Ontario : Ottawa || Canada : Ontario : Toronto || Canada : Quebec : Montreal 

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. 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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