Data Scientist, Interest Rate Risk

Temporary position for 12 months.

The Data Valorization Department is responsible for developing, monitoring and maintaining our credit risk models so that we can offer innovative financing products to our members and clients while ensuring Desjardins’s long-term viability. As a data scientist, you help analyze, research and develop models for managing interest rate risk, while supporting treasury management activities. You recommend directions and strategies to implement industry best practices for governance of interest rate risk management. You lead practitioners on strategic, complex and innovative development projects. You help make recommendations on the development and execution of projects and initiatives with a high degree of operational and conceptual complexity. More specifically, you will be required to:

• Help develop and maintain interest rate risk models, mainly for matching and calculating risk indicators.

• Conduct impact analyses related to updating model parameters and implementing them.

• Draft and maintain methodology documents associated with model development and monitoring.

• Ensure ongoing compliance with regulatory requirements and framework and governance standards for managing interest rate risk.

• Help develop and maintain the Quantitative Risk Management (QRM) application and other IT tools used to monitor, model and manage interest rate risks.

• Monitor changes in the market, best practices for interest rate risk and impacts on other risks, such as liquidity risk.

• Collaborate on cross-sector projects related to other risk areas (liquidity risk, market risk, credit risk, etc.).

• Contribute to internal and external risk reporting.

• Participate in monthly and quarterly production by managing a large amount of data.

• Work with the internal analytics community to help it fulfill its 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.

What you bring to the table

• Bachelor's degree in a related field

• A minimum of four years of relevant experience

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

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

• Experience working with the QRM software package

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

• Knowledge of French is required

• Extensive knowledge of interest rate risk management and overall banking operations

• In-depth knowledge of financial products and their valuation (loans, deposits, bonds, interest rate swaps)

• Knowledge of statistical and modelling methods (variable selection methods, regressions, etc.)

• Knowledge of Basel regulations

• Proficiency in MS Office suite, mainly Excel

#LI-Hybrid

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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