Interest Rates, Quantitative Product Manager, NYC recruitment
The business is looking for a product team lead with a strong understanding of the interest rate markets and experience in the valuation of vanilla and structured interest rate derivatives. This is a highly quantitative role and you must have a fantastic understanding of the pricing of interest rate derivatives and curve construction.
Responsibilities:
- Leading and managing the product development for all vanilla and exotic interest rate instruments from the perspective of market data, analytics, client interface and commercials
- Leading a global team of interest rate product analysts across London, NY and Singapore
- Applying best practice to the construction of yield curves and volatility surfaces
- Responsible for accurate and reliable valuation of vanilla and structured interest rate derivatives in the automated and bespoke valuation frameworks
- Working with the technology group to incorporate pricing models developed by the quantitative analytics team into the automated valuation framework
- Interpreting and valuing structured interest rate notes and developing bespoke analytics for pricing non-standard exotic IR instruments
- Supporting the operational team in dealing with more complex client queries and providing expertise to the sales team to win new client mandates
- Specifying, testing and enhancing the existing analytics and technology framework to ensure accuracy and reliability of existing valuations and meeting client requirements
- Testing, calibrating and validating quantitative models for exotic interest rate products against observable quotes
- Interfacing with existing and prospective clients to explain the business’s commercial offering and valuation methodologies
Requirements:
- Proven track record in pricing vanilla and exotic interest rate products, with calibration to the traded markets, is essential
- Some experience in pricing Inflation or Bond derivatives is desirable
- Strong analytical, quantitative and problem-solving abilities
- Good undergraduate degree in a quantitative discipline is essential, probably followed by a numerical Masters (e.g. maths, physics or engineering)
- Practical understanding of the basics of mathematical finance and derivatives pricing
- Knowledge of best industry practice in constructing yield curves, volatility surfaces and pricing exotic interest rate products
- Familiarity with the use of standard pricing models and calibration techniques in fixed income markets
- Strong Excel and VBA skills are essential
To apply or for more information please contact trevor.symons@ojassociates.com
May 6, 2012
• Tags: FX & Money Markets careers in the USA, Interest Rates, NYC recruitment, Quantitative Product Manager • Posted in: Financial