As part of the Counterparty and Issuer Risk team, your role is to use your expertise in PFE and XVA models to help Business Services develop the derivatives business line. Due to your knowledge and experience, you interact with an array of professionals in market, credit, IT, and more. You recommend directions and strategies to implement industry best practices for governance of risk management. As a Data Scientist, Counterparty and Market Risk, you take part in analysis, research and development for the XVA desk to improve the management and monitoring of provisions for OTC derivatives. You serve as a specialist advisor and subject matter expert. You also serve as a resource person and assistant for decision-making bodies. More specifically, you will be required to :

• Analyze and explain XVA variations.
• Interact with the XVA desk to review and improve calculation parameters.
• Calculate XVA charges on new derivative transactions.
• Model financial products and evaluate pricing.
• Develop, validate and analyze P&L metrics and Greeks.
• Help develop and maintain counterparty risk models (PFE, XVA, SA-CCR, etc.) and market risk models (VaR, stress tests, etc.).
• Collaborate with the capital team on regulatory CVA (BA-CVA, SA-CVA) and market risk capital (SA-FRTB).
• Monitor market developments and best practices for XVA.
• Help develop IT tools related to counterparty and issuer 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.
• 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 eight years of relevant experience
• Please note that other combinations of qualifications and relevant experience may be considered
• Experience with at least one market risk software solution
• Experience in model validation
• Experience in programming and analysis with Python
• Academic specialization and/or CFA or FRM certification (ideally) underway or complete
• Expertise in counterparty/market risk, including knowledge of the XVA and PFE models, P&L attribution, Greeks, VaR and stress testing
• Knowledge of the International Swaps Derivatives Agreement (ISDA) and the Credit Support Annex (CSA)
• In-depth knowledge of financial derivatives and how they’re modelled
• Knowledge of Linux
• Knowledge of Basel regulations
• Knowledge of French is required
• Advanced proficiency of English due to the nature of the duties or work tools or because the position involves interactions with English-speaking partners, members and/or clients

Action oriented

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!
Job Family
Data (FG)
Unposting Date
2025-07-1

• Analyze and explain XVA variations.
• Interact with the XVA desk to review and improve calculation parameters.
• Calculate XVA charges on new derivative transactions.
• Model financial products and evaluate pricing.
• Develop, validate and analyze P&L metrics and Greeks.
• Help develop and maintain counterparty risk models (PFE, XVA, SA-CCR, etc.) and market risk models (VaR, stress tests, etc.).
• Collaborate with the capital team on regulatory CVA (BA-CVA, SA-CVA) and market risk capital (SA-FRTB).
• Monitor market developments and best practices for XVA.
• Help develop IT tools related to counterparty and issuer 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.
• Work with the internal analytics community to help it fulfill its role as a hub of data science expertise