- Highly Competitive
- New York, NY, USA
- Permanent, Full time
- Selby Jennings QRF
- 25 Sep 17
Vice President, Interest Rate Derivative Valuations (Quantitative)
- Location: New York, NY, USA
- Salary: Highly Competitive
- Job Type: Full time
Top-tier investment bank looking to expand their Valuations/IPV group in New York. This team plays a central role within the organization and liaises closely with the trading desks, risk teams, product control, technology, and strategy/modeling teams.Responsibilities
- Independent pricing and analysis of Interest Rate, Inflation Rate, FX products, using proprietary quantitative models and market data inputs.
- Enhance/calibrate/test existing pricing models and specify requirements for models to support new products.
- Be responsible for producing, analyzing, and verifying valuation movements within portfolios on a daily basis with reference to wider market activity, trade events, and sensitivity analysis.
- Initiate and deliver analytics around the valuation service including management information.
- Establish and develop strong relationships with external and internal parties, working directly with senior management and providing regular input in decision-making processes.
- Daily interaction and communication with senior counterparts in front office trading and quant teams for position marking validation and controls.
- Work with relevant departments to develop price-testing and reserve policies, consistent with principles of valuation and control.
- Train new team members and lead initiatives as needed.
- Bachelor's Degree required in Finance or a related field.
- Advanced degrees in Financial Engineering, Quantitative Finance, Applied Mathematics, Statistics etc. preferred.
- 6-8+ years direct experience with valuations & price-testing of derivatives, ideally in a sell-side institution or consultancy.
- Ability to explain a valuation by analyzing its constituent parts and how it is calculated.
- Must have a full and up-to-date understanding of the lifecycle of derivatives and be able to investigate and explain valuation movements using sensitivity based analysis.
- Strong communication skills to establish credibility and build strong relationships.
- Strong technical ability - hands-on experience with models, complex spreadsheets, process automation etc.
- Knowledge of programming e.g. VBA, Excel. Matlab, SQL etc. preferred.