Requisition ID: 266766
Salary Range: 225,000.00 - 225,000.00
Please note that the Salary Range shown is a guideline only. Salary offered may vary based on factors, including, but not limited to, the successful candidate's relevant knowledge, skills, and experience.
Offered salary is between $225,000 and $225,000 per year. 40 hours per week.
TITLE: Associate Director, Credit Quant
DUTIES: The Bank of Nova Scotia seeks Associate Director, Credit Quant in New York, NY to develop valuation models for ABS, MBS, and other credit products, and ensures the theoretical, soundness, the numerical accuracy, and the implementation correctness of these models. Develop 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 in a timely manner related to valuation, risks, P&L attribution, hedging and so on. Provide subject matter expertise to model stakeholders such as the business, risk management, audit, product control and technology groups during and post of the model implementation. Form a close partnership with the business to deliver models and analytics to production from end to end with limited supervision. Understand how the Bank's risk appetite and risk culture should be considered in day-to-day activities and decisions. Actively pursue effective and efficient operations of his/her respective areas, while ensuring the adequacy, adherence to and effectiveness of day-to-day business controls to meet obligations with respect to operational risk, regulatory compliance risk, anti-money laundering / anti-terrorist financing (AML/ATF) risk and conduct risk, including but not limited to responsibilities under the Operational Risk Management Framework, Regulatory Compliance Risk Management Framework, AML/ATF Global Handbook and the Guidelines for Business Conduct. Champion a high-performance environment and contributes 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, and three (3) years of experience in the job offered or in a related occupation: 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 modeling. 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. Telecommuting and/or working from home may be permissible pursuant to company policies. When not telecommuting, must report to work site.
QUALIFIED APPLICANTS: Please apply directly through our website https://www.scotiabank.com/careers by searching for Associate Director, Credit Quant & indicate job code MD061026WEB.
Location(s): United States : New York : New York City
