Top American Investment Bank is hiring a VP to join their Interest Rate Derivatives Valuation team in NYC.
The Valuations function works closely with the Front Office as well as the Market Risk, Quant Research, and Modeling teams. This individual will assist in pricing linear and non linear interest rate derivatives to support North America Rates Trading Desks.
- Research and develop derivative pricing and valuation methodology for Rates and Rates Derivatives.
- Work closely with Quant and Model Reviewing teams to evaluate trading models and apply compensating controls and adjustments for model limitations.
- Manage valuation process for the North America rates desk.
- Establish and maintain relationships with front Office and external stakeholders.
- Master's in a Quant related field required.
- 4+ years of relevant experience.
- Understanding of Quant methodologies.
- Expertise with excel; python and SQL would be a plus.
- Familiarity with G10 swaps, swaptions, cap/floors, and exotic rates.