The Bank of Nova Scotia seeks Assoc. Director, Credit Quant in NY, NY to develop valuation models for ABS, MBS, & other credit products, & ensures theoretical soundness, numerical accuracy, & implementation correctness of these models.
Requirements: Master's or foreign equivalent in Mathematics of Finance, Computer Science, Software Engineering, Physics, or related field, & 3 years of experience in job offered or in related occupation: programming in C++, C++11, Python or VBA to analyze & build models within modeling framework. Working with programming languages including Python, Java, or Scala to build large scale quantitative modeling. Working with financial products including Asset Backed Securities, Collateralized Loan Obligations, & Mortgage Backed Securities & their models. Analyzing ABS cashflow models to determine irregularities in payment & unique features of different deals & asset classes. Building Collateral cashflow models to replicate & confirm data is as expected & hidden risks are accounted for as it relates to prepayments, defaults, severity & other potential inputs. Building Liabilities cashflow models to replicate & confirm data is as expected & hidden risks are accounted for as it relates to prepayments, defaults, severity & other potential triggers. Analyzing structured finance asset classes, including many in ABS. Telecommuting and/or work from home may be permissible pursuant to company policies. When not telecommuting, must report to work site. 40 hours/week.
Application Instructions: Please apply through https://www.scotiabank.com/careers by searching for Associate Director, Credit Quant & indicate job code MD061026AD.
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