Manager, Model Validation - Toronto, Canada - Scotiabank

Scotiabank

Verified Company

Toronto, Canada

1 week ago

Posted by:

Sophia Lee

beBee Recruiter

Description

Requisition ID: 178986

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

Purpose of Job:

Executes initial and ongoing model validations/approvals to ensure model risk management initiatives are in compliance with regulatory requirements and internal policies/procedures.

Responsibilities:

Assist Director/Senior Manager and/or independently validate and/or review of Market risk capital models, counterparty credit risk capital models and the market risk/counterparty credit risk related stress testing models.
Perform detailed quantitative and technical review of models, including responsibility of designing the validation framework, research on appropriate statistical / mathematical technical tests, coding/programming to analyze various aspects of model performance.
Responsible for the review of all necessary documentations related to validation assignments, including reviewing documentation of work assignments under the incumbent's supervision; ensuring accuracy and completeness of archived information and related documentation to allow independent thirdparty review of the validation work performed
Undertake research and development of new validation techniques
Comply with internal policies, procedures and regulatory requirements where applicable
Provide reports for the summary of findings and recommendation to Senior Manager or Director.
Manage relationship with key contacts as identified for each validation request submission
Provide active and direct support to resolve outstanding audit and regulatory issues and to respond to ad hoc senior management and regulatory requests

Job Requirements:

Advanced degree in Mathematics, Statistics, Econometrics, Physics, Computer Science, Financial Mathematics, Financial Engineering (Master or above, Ph.

D. Preferred); Industry certification or credentials will be an asset (e.g. CFA, FRM)

Knowledges of the derivative pricing model theory, counterparty credit risk modeling, market risk capital modeling, market data etc. Experience in market risk modeling including the valuation and capital models, or counterparty credit risk modeling is preferred
Familiar with various trading products including IR, FX, Equity, Commodity etc.
Excellent written and presentation skills to provide advice and explanation to various users
Sound understanding of various modelling techniques and comfortable to conduct various tests.
Proficient computing skills in Matlab, C++, Python.
Ability to manage efficiently multiple priorities; attention to detail and ability to work independently or in teams; consensusbuilding ability.

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.