Associate Director, Credit Quant

Duties

• Develop valuation models for ABS, MBS, and other credit products.
• Ensure the theoretical, soundness, numerical accuracy, and implementation correctness of these models.
• Create robust, reliable, and user-friendly front office analytics for pricing, hedging, risk management, and profit & loss (P&L) attribution for both intraday and end of day.
• Provide daily and on-demand quantitative support to the business related to valuation, risks, P&L attribution, hedging, and other areas.
• Provide subject matter expertise to model stakeholders such as the business, risk management, audit, product control, and technology groups during and post-model implementation.
• Form a close partnership with the business to deliver models and analytics from end to end with limited supervision.
• Understand and adhere to the Bank’s risk appetite and risk culture in day-to-day activities and decisions.
• Pursue effective and efficient operations of his/her respective areas, ensuring the adequacy, adherence to, and effectiveness of business controls to meet operational, regulatory, AML/ATF, and conduct risks.
• Champion a high-performance environment and contribute to an inclusive work environment.

Requirements

• Master's degree or foreign equivalent in Mathematics of Finance, Computer Science, Software Engineering, Physics, or a related field.
• Three (3) years of experience in the job offered or in a related occupation, including:
• Programming in C++, C++11, Python, or VBA to analyze and build models within the modeling framework.
• Working with programming languages including Python, Java, or Scala to build large-scale quantitative models.
• Working with financial products including Asset Backed Securities, Collateralized Loan Obligations, and Mortgage Backed Securities and their models.
• Analyzing ABS cashflow models to determine irregularities in payment and unique features of different deals and asset classes.
• Building Collateral cashflow models to replicate and confirm the data is as expected and hidden risks are accounted for as it relates to prepayments, defaults, severity, and other potential inputs.
• Building Liabilities cashflow models to replicate and confirm the data is as expected and hidden risks are accounted for as it relates to prepayments, defaults, severity, and other potential triggers.
• Analyzing structured finance asset classes, including many in ABS.

Qualifications

Please apply directly through our website https://www.scotiabank.com/careers by searching for Associate Director, Credit Quant & indicate job code MD061026WEB.

Location: United States : New York : New York City

Scotiabank is a leading bank in the Americas. Guided by our purpose: "for every future", we help our customers, their families, and their communities achieve success through a broad range of advice, products, and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.

At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone. If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know. If you require technical assistance, please click here. Candidates must apply directly online to be considered for this role. We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.