Associate Director, Credit Quant

Scotiabank; New York (NY); Hybrid; USD 120,000 - 150,000; Full time

Job summary

Scotiabank is seeking an Associate Director, Credit Quant in New York City to develop valuation models for various credit products. You'll focus on creating user-friendly analytics for pricing and hedging, and ensure numerical accuracy and soundness of models.

The role requires a Master's degree in a relevant field and experience in quantitative analysis, programming, and working with financial products like Asset-Backed Securities. A high-performance and inclusive work environment are fostered.

Qualifications

• Master's degree or foreign equivalent in a relevant field and three years of experience.
• Proficient in programming languages C++, Python, and VBA.
• Experience with Asset-Backed Securities and their models.

Responsibilities

• Develop valuation models for ABS, MBS, and other credit products.
• Provide daily quantitative support to the business.
• Ensure day-to-day activities adhere to the bank’s risk appetite and risk culture.

Skills

C++

Python

Quantitative analysis

Model building

Risk management

Education

Master's degree in Mathematics of Finance, Computer Science, Software Engineering, Physics, or related field

Job description

Associate Director, Credit Quant

Location: United States: New York: New York City

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 ensure the theoretical soundness, numerical accuracy and implementation correctness of these models. Develop robust, reliable, and user-friendly front office analytics for pricing, hedging, risk management and profit & loss attribution for both intraday and end of day. Provide daily quantitative support to the business in valuation, risks, P&L attribution, hedging, and related 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. Partner with the business to deliver models and analytics to production end-to-end with limited supervision. Ensure day‑to‑day activities adhere to the bank’s risk appetite and risk culture, meeting obligations in operational risk, regulatory compliance risk, AML/ATF risk and conduct risk. Champion a high‑performance environment and foster 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 models.
• Working with financial products including Asset‑Backed Securities, Collateralized Loan Obligations, and Mortgage‑Backed Securities and their models.
• Analyzing ABS cash‑flow models to determine irregularities in payment and unique features of different deals and asset classes.
• Building collateral cash‑flow models to replicate and confirm the data is as expected, accounting for prepayments, defaults, severity and other potential inputs.
• Building liabilities cash‑flow models to replicate and confirm the data is as expected, accounting for 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.