Data Scientist at Desjardins, a financial services cooperative, developing advanced analytics, machine learning and AI models. Advising stakeholders and supporting data - driven business decisions.
About the role
- Data Scientist improving risk management and market risk for OTC derivatives trading desk. Collaborating with stakeholders to implement strategies and enhance analytical models.
Responsibilities
- 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
Requirements
- 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
- 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
Benefits
- 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
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