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Associate/AVP - Quantitative Middle Office & Valuations

  • Job type: Permanent
  • Location: New York
  • Salary: Negotiable
  • Job reference: 313281/001_1560436030
  • Sector: Selby Jennings, Risk Management
  • Date posted: 13/06/2019

Associate/AVP - Quantitative Middle Office & Valuations

A client of mine is looking to add to its quantitative middle office and independent pricing team. The team is responsible for all middle office data management, technology support, pricing, and risk metrics for the trading desk as well as risk management department. The team puts together some of the forefront derivative pricing models for the traders, and is responsible for ensuring model governance and risk management is incorporated into all of the models and technical tools.

- Modeling of OTC derivatives
- Statistical modeling of large data sets - time series data exposure
- Pricing and verification of models related to cross-asset derivatives
- Risk management and risk monitoring of financial models
- Independent Price Verification (IPV) of both securities and portfolios
- Scripting and tool development (Python)
- Work directly with the front office and technology teams on issues discovered through technology testing and model validation

- Masters degree or higher in a Finance, Operations Research, Management, or a computational field
- 2-5 years of experience working in a quantitative derivative pricing role - front office or middle office
- Strong programming knowledge (Python, VBA, SQL)
- OTC Derivative knowledge as well as valuations knowledge
- Some experience with financial risk management, Value at Risk (VaR) or credit risk models.
- Strong communication skills

The ideal candidates are well-rounded Middle Office professionals looking to develop their career in a team of motivated and high-achieving peers. They will be able to work both collaboratively and independently, and are able to think on their feet and articulate their ideas effectively.

Apply now.

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