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About the Role

Develop valuation models for ABS, MBS, and other credit products, ensuring theoretical soundness, numerical accuracy, and implementation correctness. Create front-office analytics for pricing, hedging, risk management, and P&L attribution. Provide quantitative support and subject matter expertise to business and stakeholders.

Responsibilities

• Develop valuation models for ABS, MBS, and other credit products.
• Ensure theoretical soundness, numerical accuracy, and implementation correctness of models.
• Develop robust, reliable, and user-friendly front office analytics for pricing, hedging, risk management and profit & loss (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 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 respective areas, while ensuring adequacy, adherence to and effectiveness of day-to-day business controls.
• Champion a high-performance environment and contribute to an inclusive work environment.

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 data and account for hidden risks related to prepayments, defaults, severity and other potential inputs.
• Experience building Liabilities cashflow models to replicate and confirm data and account for hidden risks related to prepayments, defaults, severity and other potential triggers.
• Experience analyzing structured finance asset classes, including many in ABS.

Skills

• C++
• C++11
• Python
• VBA
• Java
• Scala
• Asset Backed Securities (ABS)
• Collateralized Loan Obligations (CLO)
• Mortgage Backed Securities (MBS)
• ABS cashflow models
• Collateral cashflow models
• Liabilities cashflow models
• Structured finance asset classes

Location

• New York, NY

Work Type

• Full-time
• Telecommuting may be permissible

Experience Level

• Associate Director

Education Level

• Master's degree

Salary/Compensations

• $225,000 - $225,000

About the Company

• Scotiabank is a leading bank in the Americas.
• Guided by our purpose: "for every future", we help our customers, their families and their communities achieve success through a broad range of advice, products and services, including personal and commercial banking, wealth management and private banking, corporate and investment banking, and capital markets.

Equal Opportunity

• At Scotiabank, we value the unique skills and experiences each individual brings to the Bank, and are committed to creating and maintaining an inclusive and accessible environment for everyone.
• If you require accommodation (including, but not limited to, an accessible interview site, alternate format documents, ASL Interpreter, or Assistive Technology) during the recruitment and selection process, please let our Recruitment team know.
• If you require technical assistance, please click here.
• Candidates must apply directly online to be considered for this role.
• We thank all applicants for their interest in a career at Scotiabank; however, only those candidates who are selected for an interview will be contacted.