Senior ALM Risk Modelling Manager

Model balance sheet interest rate risk in Toronto using statistical modelling and software engineering practices at Scotiabank. Support rate positioning and FTP through quantitative analysis.

As Senior Manager, ALM Risk Modelling, you will model assets and liabilities across Scotiabank’s balance sheet. The team applies mathematics, statistics, physics, and computer science to customer behaviour modelling. Your work supports mortgage prepayment, deposit behaviour, and options risk analysis.

Key Responsibilities:

• Model balance sheet positions from start to finish
• Use historical and exogenous data for calibration
• Collaborate with business units on behavioural components
• Present model analysis to senior management
• Design and code models using software best practices

Requirements:

• Graduate degree in a quantitative discipline or equivalent experience
• Experience building statistical or mathematical models
• Ability to simplify complex ideas for decision making
• Knowledge of structural interest rate modelling or ALM
• Software engineering mindset; Python programming is a bonus

Apply quantitative modelling, ALM knowledge, and Python programming to Scotiabank’s balance sheet risk in Toronto.