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Purpose TFRM - Hedge Funds is responsible for market risk adjudication and monitoring of the Credit Total Return Swap (TRS) and Prime Services businesses, as well as credit risk adjudication of the Bank's hedge fund counterparties. The group also supports the business development process by providing advice and guidance to make deals more bankable, and contributes to the maintenance of acceptable portfolio quality by applying suitable risk measurement and monitoring methodologies.
TFRM - Hedge Funds Analytics is responsible principally for market risk adjudication, monitoring, and development of risk measurement methodologies for the Bank's Credit TRS portfolio. The team works closely with the Credit Derivatives Sales & Trading and Origination groups, GWO, and Market Risk Measurement (MRM). The team also supports TFRM - Hedge Funds Credit as needed.
Quantitative Undergrad (i.e. finance, mathematics, statistics, and engineering) plus Masters preferred. Progress towards or completion of CFA/FRM an asset.
2 years or more experience in market risk related areas
Good understanding of financial markets, risk analysis and derivatives valuation. Working knowledge of fixed income markets is desirable.
Working knowledge of/experience with traded products and ISDA documentation ideally related to Credit TRS.
Excellent written and verbal communication.
Ability to work in a fast paced environment and to multi-task and prioritize appropriately.
Exceptional problem solving skills.
Market Risk - Oversee market risk exposures for covered businesses and communicate to Senior Risk Management, Senior Trading Management and MRMPC on trading risks, trader sentiment and market conditions. Ensure adherence with Bank's risk appetite and the business mandate. Partnership with Trading - Engage trading groups in a proactive manner to promote open communication between risk and trading. Escalate trading issues and work effectively with senior trading management
Other Risks--Manage the hedge fund Credit TRS portfolio according to policies/guidelines/limits established by the Market Risk Management and Policy Committee. Highlight any issues or gaps which may give rise to market or operational risk.
Communication - Communicate regularly with TFRM management on trading activity, trading risk profile, trader sentiment and market developments in covered businesses. Collaborate with global TFRM teams to ensure there is consistency in risk management approach. Collaborate with Product Control, back office, MRM and other Bank stakeholders to achieve common objectives.
Daily oversight of daily risk sensitivity monitoring, weekly risk measures and portfolio review, collateral management, non-disapproval of underlying assets and review of the RTDMSC (comprehensive deal monitoring system) for Credit TRS transactions.
Valuation - Ensure independent price verification is performed in accordance with policies and advice on appropriate valuation reserve adjustments in accordance with Bank's policies. Assist in maintaining Official Rate Source Document (ORSD) for covered products. Identify risk taking activities and valuation issues through oversight of daily P&L attribution analysis.
Data Analytics - Participate in extracting insight from risk and market data through analytic techniques and data visualization tools (e.g. R, Python,Tableau).
New Deal, Product & Limit Adjudication - Management, review, and adjudication of new Credit TRS transactions as well as amendments on a timely basis. Make recommendations to MRMPC on new limit requests, including proposing new limits according to the Bank's risk appetite.
Regulatory & Audit - Participate in external and internal audits and coordinate resolution of findings and participate in key regulatory initiatives (e.g. FRTB).
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. 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.