Assoc. Director, Credit Quant

Overview Finance: The Bank of Nova Scotia seeks Assoc. Director, Credit Quant in NY, NY to develop valuation models for ABS, MBS, and other credit products, and ensures theoretical, soundness, numerical accuracy, and implementation correctness of these models. Responsibilities Analyze ABS cashflow models to determine irregularities in payment and unique features of different deals and asset classes. Build collateral cashflow models to replicate data and confirm hidden risks related to prepayments, defaults, severity and other inputs. Build liabilities cashflow models to replicate data and confirm hidden risks related to prepayments, defaults, severity and other triggers. Analyze structured finance asset classes, including many in ABS. Program in C++, C++11, Python or VBA to analyze and build models within the modeling framework. Program in Python, Java, or Scala to build large‑scale quant modeling. Work with financial products including Asset Backed Securities, Collateralized Loan Obligations, and Mortgage Backed Securities and their models. Qualifications Master's or foreign equivalent in Mathematics of Finance, CS, Software Engineering, Physics, or related field. 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. Benefits Telecommuting and/or work from home may be permissible pursuant to company policies. When not telecommuting, must report to work site. Offered salary is btwn $225,000 & $225,000/yr. 40 hrs/wk. Application Please apply through by searching for Associate Director, Credit Quant and indicate job code MD061026AD. #J-18808-Ljbffr New York Times