VP/Director, Rates Trader
The role would be based out of the New York office and you would be dealing with all products within Interest rates, ranging from Rates options, CMS to Mortgages.
Within this role you will be responsible for pricing clients trade risk and managing the books. As well as working closely with the Quant and IT teams to help improve the current pricing systems.
Responsibilities:
You would be responsible for/Expected to:
• Defining pricing methodologies/aggressiveness for USD Interest Rate Exotic Derivatives (mainly on Bermudans)
• Pricing various products; making markets and executing client deals (taking into account various types of funding costs)
• Managing on a daily basis the various risks (such as Delta, Vega, Correlation, Vanna, Volga) of the related trading books (including checking PL and risk analysis of all new deals and hedging risk coming from new positions or market moves).
• Work closely with the engineering teams in New York, Hong Kong, London and Paris, and to communicate extensively with Sales in order to capture as much client flows as possible.
• Participate in the development of our IT systems : find and test new solutions, adapt our tools to the US environment.
• Demonstrate strong analytical skills to understand market/model dynamics of various products and be capable of developing simple tools to quantify it.
• Work closely with the Risk department for risk approval on new products and models.
• Develop and manage the Bermudan options business on the USD. Work with Risk department for risk approval on new products and models.
• Responsible for global risk management of the position.
REQUIREMENTS:
- Master’s degree or U.S. equivalent in Finance, Mathematics, Mathematics in Finance, Engineering or a related field.
- 3-5 years of experience trading USD interest rates in exotic and vanilla products; risks associated with Interest-based structured products; pricing models and theory; pricing methodology of Complex Interest Rates Structured Products; and quoting pricing parameters for structured products in the U.S. markett
- At least 2 years of experience in all of the following : Vanilla Libor Derivatives, Exotic Libor derivatives, Treasury Derivatives, Agency Mortgage Derivatives.
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