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Manager, Model Validation & Approval( 1 year contract)

Scotiabank

This is a Contract position in Toronto, ON posted October 15, 2020.

 

 

 

Requisition ID: 90355

 

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

 

Purpose of Job

 

The Manager in Model Validation & Approval valuation team provides independent and consistent model validation and approval across various product types, including foreign exchange, fixed income, equity, commodity and credit derivatives. This manager is primarily responsible for validation of derivative pricing models used in Scotiabank’s Fundamental Review of the Trading Book (FRTB) initiative. You will collaborate with multiple stakeholders from groups including Global Analytics & Financial Engineering (GAFE) and Trading Floor Risk Management (TFRM) on a regular basis, and occasionally responses to internal and external auditors.

 

Key Accountabilities

 

  • Support Director/Senior Manager to validate derivative pricing models used in capital market and risk management for various purposes including P/L calculation, sensitivity calculation and limit monitoring etc.
  • Manage the validation projects independently or work in a group; review model documentation; conduct research on new methodology and validation techniques; design and implement validation test plan.
  • Provide reports for the summary of findings and opinion to the model approval committee.
  • Manage relationship with key contacts as identified for each validation request submission. 
  • Comply with internal policies, procedures and regulatory requirements where applicable.
  • Provide support to large-scale projects as required.
  • Keep abreast of industry and regulatory developments and evolving expectations; develop relationships with counterparts at other financial institutions.

 

Education/Experience

 

  • Advanced degree in quantitative fields such as Mathematics, 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).
  • Strong knowledge in applied math/statistics and numerical method such as Monte Carlo simulation, Bi-Nomial Tree and numerically solving PDE.
  • 1 to 2 years’ experience in quantitative positions such as model development or model validation.  In depth knowledge in one or more of the following product types and modeling technique is preferred: equity derivative, fixed income derivative, commodity derivatives, fx and credit derivatives; local/stochastic volatility modeling, IR curve bootstrapping, etc.
  • Effective project and time management in order to efficiently deliver concurrent projects with competing priorities with good quality.
  • Ability to supervise as well as independently deliver work assignments efficiently.
  • Constructive conflict management ability; ability to collaborate effectively with model owner/sponsor counterparts as well as internal audit and regulators.
  • Effective presentation and strong spoken and written communication skill are essential.

 

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. Our employees are committed to a superior customer experience and use the Bank’s six guiding sales practice principles to ensure they act with honesty and integrity.

 

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.