Requisition ID: 102310Join the Global Community of Scotiabankers to help customers become better off.
ASSOCIATE / ASSOCIATE DIRECTOR, FICC Quant Trading Analysis
ABOUT
The FICC QT (Quant Trading) team develops and maintains Scotiabanks FICC automatic trading algorithms and model infrastructure.
Working closely with various trading desks, and technology groups, the team has delivered the most advanced automatic trading platform in use in Fixed Income in the Canadian market. Work is underway to deploy the same technology in the US. Working with the technology group, the next generation of infrastructure is currently being developed to support this and future modelling efforts.
The team is composed of self-motivated, driven technologists, programmers, machine learning experts and data scientists who want to solve complex problems arising from the strategic goal of the automation of the trading and risk management functions through data-driven analytics. Your primary responsibility will be delivering solutions to the FICC business. Example projects:
Development of models to optimize auto-pricing, quoting and hedging of bonds on electronic platforms
simulation of pricing and hedging models against historical data
analysis and modelling of client behaviour
analysis and development of models to optimize hedge execution in CLOB markets
commodity execution optimisation
THE ROLE
You will be working closely with other members of the global team who include specialists in functional programming, computer science, software engineering, machine learning and data analysis and with the front office trading desks to define product features, determine scope, build estimates, design and develop systems. You should have a strong mathematical background with experience of Bayesian techniques and machine learning. Experience of time series analysis, recurrent neural networks and deep reinforcement learning would be beneficial. We currently have a substantial code base written in Scala. Prototyping and research is also done using Python but we are open to using the most appropriate and efficient tools to get the job done. A strong software engineering background with exposure to functional programming techniques would be ideal.
RESPONSIBILITIES AND QUALIFICATIONS
Specific responsibilities, dependent on the individual will include:
Understanding existing fixed income electronic trading, pricing and risk platforms
Collaborate with the front office teams to build product roadmaps and define the scope
Analysis of data
Formulation, development, testing and evaluation of models
Evaluation of technologies, creation of proof-of-concepts
Understand integration with multiple systems
Code and design reviews
Collaboration with Dev-Ops to enhance tooling and streamline processes
Qualifications
Masters or PhD in Computer Science or related degree from an accredited university or Bachelors with significant relevant experience
Strong functional programming skills in Scala or other functional languages
Solid computer science foundation
Excellent mathematical skills
Experience of building large scale applications
#InTech
Location(s): Canada : Ontario : Toronto
As Canada’s International Bank, we are a diverse and global team. We speak more than 100 languages with backgrounds from more than 120 countries. Our employees are committed to a superior customer experience and use the Banks six guiding sales practice principles to ensure they act with honesty and integrity.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.