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VP Senior Quantitative Analyst

Company: Consumer Banking & Financial Services, New York, N
Location: New York
Posted on: July 13, 2018

Job Description:

Job Description Strong knowledge of Interest Rates Options market conventions, pricing and risk management techniques Strong knowledge of Linear Interest Rates Derivatives including swaps, xccy swaps, FRAs, futures, etc. Knowledge of Fixed Income Products (Bonds) and their Derivatives Ability to respond quickly to urgent requests from Front Office Job Requirements

In-depth knowledge of yield curve construction and volatility modeling including (but not limited to) the SABR model and its extensions

Strong knowledge of modern approaches to modeling interest rates derivatives including: Swaps Caps/Floors Swaptions IR Futures Options CMS Swaps/Caps/Floors Bond-based derivatives (TRS, Rate Locks, Bond Options, Futures and Options on Bond Futures) Strong knowledge of financial mathematics including stochastic calculus

Experience with numerical methods (Monte Carlo, numerical integration, PDE/ODE solving techniques)

Extensive hands-on experience with C++ development

Expert level knowledge of Excel/VBA

Sound technical knowledge and analytical skills

Follow established testing procedures, standards and processes

Lead in knowledge transfer within the team, and business units globally

Exposure to xVA modeling is a plus

Exposure to commodities and FX derivatives modeling is a plus

Develop and maintain relationships with Client(s), Relationship Managers and Project Managers

Work effectively in a team, supporting other team members in achieving project/ business objectives and providing client services

Support a positive work environment that promotes customer service, quality, innovation and teamwork and ensure timely communication of issues/ points of interest

Qualifications 5+ years of experience as a front office derivatives quant in investment banks. Interest rate or FX options or Commodity Derivatives. Proven team player Ability to work with geographically distributed teams Ability to address trading requirements in a timely manner Relationships - all-round relationship builder, with clients, team, peers across different jurisdictions and with a diverse set of people Strong oral and written communication skills; ability to articulate complex concepts and technical ideas to non-technical personnel clearly Excellent problem solving ability

Keywords: Consumer Banking & Financial Services, New York, N, New York, VP Senior Quantitative Analyst, Executive, New York, New York

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