Director, Equity Derivatives Quant

Scotiabank & Trust • New York, NY

301d • $300,000 - $300,000

About The Position

Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture. The Director, Equity Derivatives Quant position is part of Global Banking and Markets (GBM), a leading Canadian Capital Markets and Investment Banking business with a growing platform in the US and Latin America. Scotiabank's strong U.S. presence provides clients an important bridge to this key global market for trade and investment flows across the Americas and the world. The role contributes to the overall success of the Global Analytics and Financial Engineering in the US, ensuring specific individual goals, plans, and initiatives are executed in support of the team's business strategies and objectives. All activities conducted are in compliance with governing regulations, internal policies, and procedures.

Requirements

• PhD or Master's Degree in Mathematics, Computer Science, Software Engineering, Physics, or other quantitative areas.
• 6+ years' experience in equity derivatives and structured notes products and their valuation models.
• Knowledge of local volatility, stochastic volatility, multi-asset valuation, calibration schemes.
• Solid background in PDE, Monte-Carlo, and stochastic calculus.
• Strong programming skills in C++, C++11 or higher version; experience with other programming languages such as Python.
• Ability to work well in a fast-paced environment with changing priorities.

Responsibilities

• Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems, and knowledge.
• Develops valuation models for equity derivatives flow and exotics products, ensuring theoretical soundness, numerical accuracy, and implementation correctness.
• Provides quantitative support to the equity derivatives and structured notes business globally.
• Develops robust, reliable, and user-friendly front office analytics for pricing, hedging, risk management, and P&L attribution for both intraday and end of day.
• Provides daily and on-demand quantitative support to the business related to valuation, risks, PnL attribution, hedging, etc.
• Provides subject matter expertise to model stakeholders such as business, risk management, audit, product control, and technology groups during and post model implementation.
• Forms a close partnership with the business to deliver models and analytics to production from end to end with limited supervision.
• Keeps current on advancements of models and related technology, proactively introducing these advancements into the bank.
• Understands how the Bank's risk appetite and risk culture should be considered in day-to-day activities and decisions.
• Actively pursues effective and efficient operations while ensuring adequacy and effectiveness of day-to-day business controls.

Benefits

• Flexible benefit programs designed to support unique family, financial, physical, mental, and social health needs.

What This Job Offers

• Job Type: Full-time
• Career Level: Senior
• Industry: Credit Intermediation and Related Activities
• Education Level: Ph.D. or professional degree