TEAM LEAD
LOCATION: NYC or London
This privately-held financial services provider is looking for a team lead for the credit derivatives valuation product stream - this is a key flagship offering.
Responsibilities would include managing a global team of 3 product specialists, collaborating with quants and developers to drive product enhancements and working with Management and Sales to drive the commercial initiative for the offering and communication of methodology to clients and prospects.
DUTIES:
- Leading and managing the product development for all vanilla and exotic credit derivative instruments from the perspective of market data, analytics, client interface and commercials
- Leading a global team of credit derivative product specialists across London, NY and Singapore
- Applying best practice to the construction of survival curves, correlation skews, volatility surfaces and credit events framework
- Responsible for accurate and reliable valuation of vanilla and structured credit derivatives in the automated and bespoke valuation framework
- Working with the technology group to incorporate pricing models developed by the quantitative analytics team into the automated valuation framework
- Interpreting and valuing structured credit notes and developing bespoke analytics for pricing non-standard exotic instruments
- Interfacing with existing and prospective clients to explain the business’s commercial offering and valuation methodologies
SKILLS NEEDED:
- Proven track record in pricing vanilla and exotic credit derivative products, with calibration to the traded markets, is essential
- Experience in CDO, CLN, FTD pricing models and mapping methodologies
- Familiarity with the use of standard pricing models and calibration techniques in synthetic credit
- Strong Excel and VBA
- Very strong interpersonal and communication skills required, to deal with external clients and also the sales, development, quantitative and operations teams
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