OTC Derivatives Quantitative Modeler (PhD)

  • Competitive
  • New York, NY, États-Unis
  • CDI, Plein-temps
  • Analytic Recruiting Inc.
  • 22 janv. 18 2018-01-22

A Major financial firm with offices in New York City is seeking a Sr. Financial Engineer with quantitative experience working with OTC Interest Rate Derivatives models for structuring, valuation and risk analysis.

Responsibilities:

  • Work with Portfolio and Risk Managers on identifying the best models to be used for pricing vanilla and exotic OTC Interest Rate Derivatives
  • Work with Portfolio and Risk Managers on fine tuning existing OTC Derivatives pricing, structuring, hedging and risk models
  • Identify aspects of the OTC Derivatives (Vanilla and Exotic) models in the library that may need to be tweaked, altered or fixed

Requirements:

  • PhD in a Quantitative Field (Math, Finance, Engineering, Physics)
  • 4+ years of financial engineering, structuring or trading OTC Derivatives including Options, Swaps and/o Structured Notes
  • Must have strong quantitative skills to understand complex OTC valuation, risk and hedging models and to know if the model’s results are accurate
  • Must have a deep understanding of how derivatives models work and is current on market conventions for pricing and hedging OTC Interest Rate products including Options (Vanilla and Exotic)
  • Must have superior communication skills and the ability to communicate complex quantitative issues to groups and individuals
  • Must have demonstrated experience using pricing platforms like Bloomberg, Numerix, Markit
  • Must have- current C++, Matlab skills

 

Keywords: OTC Derivatives, Financial Engineer, Exotic Options, Valuation Models, Risk Models, Hedging Models, C++, Matlab

Please refer to Job #22935 - and send MS Word attached resume to jeg@analyticrecruiting.com