Interest Rate Derivative Valuation, Quantitative Analyst- Exotics and Vanilla Quantitative Pricing, New York
JOB DESCRIPTION:
US investment bank is currently seeking a quantitative analyst to work within the Interest Rate derivative valuation group. This group acts as an internal but independent group to verify the prices and value of derivative products and trades. The bank has one of the largest interest rate derivative trading books in N.America, and the valuation pricing group is vital to ensure that fair valuation and prices are being calculated correctly. This role requires a technically strong candidate who understands derivative pricing methodology, on both exotic and vanilla products. The team is highly visible, and works closely with Risk, Quant groups, and traders. You will therefore need to work with stakeholders from a variety of backgrounds and seniority, presenting your findings, dealing with discrepancies and suggesting improvements to the methodology.
Responsibilities:
- Maintenance, development and calibration of pricing models for interest rate derivatives and the pricing of new exotic instrument types.
- Working on the quantitative, analytical and technological development of exotic interest rate and inflation derivative valuation capabilities
- Ensuring the quality and reliability of market data inputs and calibrations for the pricing of the derivative instrument types within these asset classes.
- Providing on-going communication to stakeholders on any issues relating to exotic interest rate derivative valuations
Qualifications:
- Experience with Interest rate derivative products in a professional environment – Risk, Valuation, Model Validation, Quantitative Analysis.
- Advanced Quantitative Degree (MSc or PhD) in Mathematics, Physics, Financial Engineering etc.
- Excellent communication skills – ability to explain complex quantitative methodology in a clear and concise way.
- Expert user of VBA and ideally C++, proficiency in XML and SQL desirable
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. Please ask for Kacey Churchill in our LA office (310 807 5025). Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 0203.141.8000
Westminster Tower | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Markets
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