Title:  Associate Director, Rates Quant

Requisition ID: 234515

Join a purpose driven winning team, committed to results, in an inclusive and high-performing culture.

Purpose

Contributes to the overall success of the Global Analytics and Financial Engineering in London ensuring specific individual goals, plans, initiatives are executed / delivered in support of the team’s business strategies and objectives.  Ensures all activities conducted are in compliance with governing regulations, internal policies and procedures.

Accountabilities 

•    Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems and knowledge.

•    Develops valuation models for interest rate derivatives products, and ensures the theoretical soundness,  the numerical accuracy, and the implementation correctness of these models

•    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 in a timely manner  related to valuation, risks, PnL attribution, hedging and so on

•    Provides subject matter expertise to model stakeholders such as the business, risk management, audit, product control and technology groups during and post of the model implementation 

•    Forms a close partnership with the business to deliver models and analytics to production from end to  end with limited supervision  

•    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 of his/her respective areas, while ensuring the adequacy, adherence to and effectiveness of day-to-day business controls to meet obligations with respect to operational risk, regulatory compliance risk, AML/ATF risk and conduct risk, including but not limited to responsibilities under the Operational Risk Management Framework, Regulatory Compliance Risk Management Framework, AML/ATF Global Handbook and the Guidelines for Business Conduct. 

•    Champions a high performance environment and contributes to an inclusive work environment. 

Dimensions

Global Analytics and Financial Engineering is a critical function within the Bank’s Global Banking and Markets (GBM) division. The derivatives valuation models and analytics developed by the team are used globally for pricing, hedging, risk management, trading limits and capital. The accuracy and the performance of these models have a direct impact on GBM’s competitiveness and profitability. The reliability and the robustness of the analytics enable the business to view and manage risks efficiently
•    Quantitative support to North America rates business
•    Interest rate model and desk analytics development and maintenance
•    Quantitative support to interest rate business globally across trading and sales, product control, risk management, technology and audit functionalities

Education / Experience 

•    PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas
•    Experience in interest rate derivatives products and their valuation models
•    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, Java, or Scala
•    Strong skills in Excel development 
•    Good communication and interpersonal skills and a team player
•    Ability to work well in a fast-paced environment with changing priorities

Location(s):  England : Greater London : London (UK) 

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.  

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.