VP/Director: CDS, Synthetic CDO
LOCATION: Role can sit in NYC or London
This privately-held global financial services provider is looking for a team lead for the global Credit derivatives product specialist team.
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 product development for all credit derivative instruments from the perspective of market data, analytics, client interface and commercial
- Applying best practice to the construction of survival curves, correlation skews, volatility surfaces and credit events framework
- Responsible for valuation/pricing of vanilla and structured credit derivatives in the automated and bespoke valuation framework
- Working with the tech group to incorporate pricing models developed by the hardcore quant team, into the automated valuation framework
- Interpreting and valuing structured credit notes and developing bespoke analytics for pricing non-standard exotic instruments
SKILLS NEEDED:
- Extensive experience in pricing vanilla and exotic credit derivative products, with calibration to the traded markets, is essential
- Experience with synthetic CDO, CDS, CLN, tranches, FTD pricing models and mapping methodologies
- Familiarity with standard pricing models and calibration techniques in synthetic credit
- Very strong interpersonal and communication skills required, to deal with external clients and also the sales, development, quantitative and operations teams
Leave a Reply
You must be logged in to post a comment.