VP, Rates/Equity Derivatives

Treasury
Published
28th February 2019
Location
New York, United States
Category
Job Type
Permanent
Salary
Competitive

Description

Overview:

  • Analytics is the analytics package used across all divisions for trading and the risk management of cash and derivatives in all asset classes of the bank: rates, credit, foreign exchange, commodities, equities, inflation, corporate finance, money markets, mortgages, hybrids, emerging markets. Furthermore, Analytics is used in many of the regulatory and portfolio calculations.

Key responsibilities:

  • Maintaining existing models and implementing new models for pricing and risk management of cash and derivative products.
    Documenting and testing models
    Supporting the Analytics library to strats, trading, GTO, Risk and Finance

Qualifications:

  • Education: PhD (preferred) in Maths, Physics or Finance
    4-7 years of experience in the financial services industry working on pricing models.
    Strong quantitative skills (stochastic calculus, numerical methods, finite differences, Monte Carlo)
    Knowledge of derivatives modeling is a must.
    Some exposure to models of the term structure of interest rates is desirable.
    Good programming skills (C++)
    Strong interpersonal skills

For any more information please contact thomasmccormick@bsmgroup.com

 

 

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