Associate Director, Credit Quant

Scotiabank Global Site•New York City, NY

4d•Hybrid

About The Position

The Bank of Nova Scotia seeks an Associate Director, Credit Quant in New York, NY to develop valuation models for ABS, MBS, and other credit products, ensuring their theoretical soundness, numerical accuracy, and implementation correctness. This role involves developing robust, reliable, and user-friendly front-office analytics for pricing, hedging, risk management, and P&L attribution, both intraday and end-of-day. The position requires providing daily and on-demand quantitative support to the business regarding valuation, risks, P&L attribution, and hedging. Additionally, the Associate Director will serve as a subject matter expert for model stakeholders across business, risk management, audit, product control, and technology groups. A key aspect of the role is forming a close partnership with the business to deliver models and analytics to production from end-to-end with limited supervision. The individual must understand and apply the Bank’s risk appetite and risk culture in daily activities and decisions, while also championing effective and efficient operations and ensuring adequate business controls for operational risk, regulatory compliance, AML/ATF, and conduct risk.

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 programming in C++, C++11, Python or VBA to analyze and build models within the modeling framework.
Experience working with programming languages including Python, Java, or Scala to build large scale quantitative modeling.
Experience working with financial products including Asset Backed Securities, Collateralized Loan Obligations, and Mortgage Backed Securities and their models.
Experience analyzing ABS cashflow models to determine irregularities in payment and unique features of different deals and asset classes.
Experience 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.
Experience 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.
Experience analyzing structured finance asset classes, including many in ABS.

Responsibilities

Develop valuation models for ABS, MBS, and other credit products.
Ensure the theoretical soundness, numerical accuracy, and implementation correctness of models.
Develop robust, reliable, and user-friendly front-office analytics for pricing, hedging, risk management, and P&L attribution.
Provide daily and on-demand quantitative support to the business related to valuation, risks, P&L attribution, and hedging.
Provide subject matter expertise to model stakeholders such as the business, risk management, audit, product control, and technology groups.
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.
Champion a high-performance environment and contributes to an inclusive work environment.