Director, Asset Liability Management (ALM) Modelling – Market Risk

Requisition ID: 206282

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

Interested in creating a safer financial world to prepare for the next financial market crisis?  – Join us!

As part of the Market Risk 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 guide modelling effort for both Interest Rate Risk in the Banking book (IRRBB) and 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.

The team 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, risk managers, data scientists and developers and collaborate with our many stakeholders across Scotiabank.

Is this role right for you?

As the Director, Asset Liability Management (ALM) Modelling team at Scotiabank you will oversee the Bank’s ALM model methodology and development for the Bank’s IRRBB and Internal Capital Assessment processes.

This position provides an opportunity for a Senior Manager or Director with extensive experience in financial, market risk, ALM or retail modelling to lead bank-wide initiatives related to modelling interest rate risk in the banking book. These are high-profile models which receive considerable attention from senior management and provide key inputs for managing interest risk in the retail portfolio and banking book. You will manage key interactions with all model users and stakeholder and work closely with treasury and other risk function in a high-profile role to develop new models suitable for the Bank’s needs.

In this role, you will:

ALM Risk Modeling Team Lead

• Lead a team of six-eight quantitative modelers responsible for the design, development and support of the Scotiabank’s Asset and Liability Models for Interest Risk in the Banking Book (IRRBB) and Internal Capital assessments.
• Contribute to a high-performance environment in a highly diverse team, develop and motivate team members by fostering an inclusive work environment and sharing of best practices and knowledge.
• Lead bank wide initiatives and provide stakeholder and business support related to all ALM modelling questions.
• Provide ownership over the bank’s main ALM models including: 
  • Develop new ALM models to support business and group treasury in a growing range of retail products, customer options and management approaches to manage the associated interest rate risk. Collaborate with data science & analytics teams, model users, risk teams, or business lines to align model purpose and use.
  • Support changes and enhancements to ALM models to be in the forefront of evolving industry standards.
  • Support regular reporting and model parameter updates for financial and risk management.
• Drive the Bank’s internal risk management practices and policies and collaborate with stakeholders in Group Treasury, Liquidity and Interest Rate Risk Management teams, International Banking, Finance, and Business lines.

Relationship Management – Develops and maintains strategic relationships by:

• Establish, build and maintain relationships with internal key stakeholders and departments within Risk and Group Treasury;
• Collaborate on and develop proposals including project deliverables while ensuring adherence to quality standards
• Work effectively with a diverse working group, with varying expertise and job levels

Personal Development Leadership – Manages personal (or where applicable “the team’s”) development to ensure knowledge and skills are continually enhanced by:

• Keep abreast of regulatory and industry standards and business short- and long-term initiatives, and how these may impact ALM modeling; 
• Contribute to a high-performance environment and develop and motivate self and team members by fostering an inclusive work environment and sharing of best practices and knowledge;
• Understand how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions;
• Build a high-performance environment and implement a people strategy that attracts, retains, develops and motivates their team by fostering an inclusive work environment; communicating vision/values/business strategy and managing succession and development planning for the team.
• Conduct staff hiring, mentoring, career development planning, succession planning and performance review

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

• Working experience in financial engineering, financial modelling, or risk modelling. Specifically, you have extensive knowledge of market risk or structural interest risk areas with exposure to modelling of ALM, customer behaviour, or modelling of interest risk in retail products.
• Advanced degree (Master’s, MBA, or PhDs) in a mathematics, economics, or scientific discipline (e.g., Mathematics, Business, Economics, Finance, Statistics, Physics, Engineering, Biology, etc.).
• Effective communication and specifically the ability to summarize complex ideas in simple terms; you enjoy working in collaborations. Experience in managing and advancing projects, the ability to develop bank-wide relationships and collaborate with a diverse group of stakeholders.
• Background in code development and programming in Python and/or other formal programming language.
• People management experience in coaching, mentoring, and leading a diverse and inclusive quantitative team.

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 : 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.