Associate Director, Credit Quant

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. #J-18808-Ljbffr Scotiabank