Data Scientist, Counterparty and Market Risk

As a Data Scientist, on the Counterparty and Market Risk team, you take part in analysis, research and development for the trading desk to improve the management and monitoring of OTC derivatives. You recommend directions and strategies to implement industry best practices for overseeing risk management and market risk. You’ll take on a leadership role among various stakeholders who have been asked to work on complex, innovative development projects and strategic initiatives. Your initiatives require extensive, in-depth knowledge of your line of work. You make recommendations on the development and execution of projects and initiatives with a high degree of operational and conceptual complexity. You use your analytical skills and comprehensive, detailed understanding of your line of business and the organization. Coordination is critical. You interact with many players from a wide range of fields. Interpersonal savvy is therefore essential. More specifically, you will be required to:

• Help develop and maintain counterparty risk models (PFE, XVA, SA-CCR, etc.) and market risk models (VaR, stress tests, etc.)

• Interact with the desks to review and improve model calculation parameters

• Model financial products and evaluate pricing

• Develop and analyze sensitivity metrics (Greeks)

• Help develop and maintain the Adaptiv application and other IT tools used to monitor, model and manage interest rate risks

• Collaborate with the capital team on regulatory CVA (BA-CVA, SA-CVA) and market risk capital (SA-FRTB)

• Ensure ongoing compliance with regulatory requirements and governance documents for managing counterparty and issuer risk and for managing market risk

• Monitor market developments and best practices for counterparty and market risk

• Take part in continuous monitoring of compliance with AMF regulations for deposit-taking institutions

• Contribute to internal and external risk reporting

• Contribute to governance documents on counterparty, issuer and market risk

• Participate in daily and monthly production by managing a large amount of data, as needed

• Work with the internal analytics community to help it fulfill your role as a hub of data science expertise

What we offer*

• Competitive salary and annual bonus

• 4 weeks of flexible vacation starting in the first year

• Defined benefit pension plan that provides predictable, stable income throughout retirement

• Group insurance including telemedicine

• Reimbursement of health and wellness expenses and telework equipment

* Benefits apply based on eligibility criteria.

#LI-Hybrid

What you bring to the table

• Bachelor's degree in a related field

• A minimum of six years of relevant experience in financial risk management and data modelling for the finance sector

• Please note that other combinations of qualifications and relevant experience may be considered

• Experience with Adaptiv Credit Risk and Adaptiv Analytics 

• Experience in counterparty risk, market risk and market activity monitoring (middle office), including knowledge of XVA, PFE models, P&L attribution, sensitivity metrics (Greeks), value at risk (VaR) and stress tests

• Experience with market risk / market activity monitoring software solutions 

• Experience in programming and analysis with Python, VBA and SQL 

• CFA, FRM or PRM certification underway or completed (preferred)

• Knowledge of French is required

• Proficiency in MS Office suite, mainly Excel

• In-depth knowledge of financial derivatives and how they’re modelled

• Knowledge of financial markets and derivatives

• Knowledge of Basel regulations

Trade Union (If applicable)

At Desjardins, we believe in equity, diversity and inclusion. We're committed to welcoming, respecting and valuing people for who they are as individuals, learning from their differences, embracing their uniqueness, and providing a positive workplace for all. At Desjardins, we have zero tolerance for discrimination of any kind. We believe our teams should reflect the diversity of the members, clients and communities we serve.

If there's something we can do to help make the recruitment process or the job you're applying for more accessible, let us know. We can provide accommodations at any stage in the recruitment process. Just ask!

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