Manager, Asset Liability Management (ALM) Modelling

Requisition ID: 215201

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

As the Asset Liability Management (ALM) Modelling team, we are an established leader in risk methodologies. We prepare Scotiabank for the adoption of new regulatory and industry-wide initiatives and guide the modelling effort for Interest Rate Risk in the Banking book (IRRBB).

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

Is this role right for you?

Do you love to apply your data, analytic, and modelling skills to solve relevant problems? Do you want to be part of the exciting endeavour of building out the next generation risk framework to make a safer financial world? This role is ideal for a person with quantitative modeling background (in Finance or another quant area) and at least a year of experience in interest rate risk, retail product, or market risk modelling. This is also good starter role for someone with a strong quantitative background with proven interest in Finance, Economics, Derivatives or Retail Products, via reading and self-education.

As part of the Bank’s central Asset Liability Management (ALM) Modelling team, you will be responsible for the development of the Bank’s methodologies to accurately measure ALM risk. These are high-profile models which receive considerable attention from senior management and provide key inputs for managing interest rate risk in the banking book. 

In this role, you will:

• Take a hands-on role in the development of robust ALM risk models for structural interest rate risk (SIRR) in the banking book, customer behaviour, macroeconomic factors, and internal capital models. Communicate with model users, risk teams, business lines, and technology to understand model purpose, usage, and implementation.
• Assist team members for various ad-hoc analyses, model development, documentation, reporting, and preparation of reports.
• Develop new models and enhance existing models, typically in Python. Alongside, you will prepare model documentation and implementation, and support the model validation process and ongoing maintenance of models.
• Execute model runs on a regular basis for reporting and perform corresponding analyses, following documented protocols.
• Become an active member of the team including our D&I initiatives and communities.

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

• Solid quantitative background and problem-solving skills with a keen interest in Finance, Economics, Derivatives or Retail Products, and Regulations.
• Advanced degree in a mathematics, economics, or scientific discipline (Mathematics, Finance, Statistics, Physics, Engineering, Biology, Economics, etc.). Master’s degrees or PhDs are a bonus.
• Knowledge of asset liability management and modelling experience in risk management, e.g. experience of structural interest rate risk modelling, is a bonus.
• Python programing is essential. Experience in other Object-Oriented programming is a bonus.
• 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!

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.  

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.