- New York, NY, USA
- Permanent, Full time
- Selby Jennings QRF
- 28 Feb 18
VP Derivative Pricing Model Review
- Location: New York, NY, USA
- Salary: Competitive
- Job Type: Full time
A top tier Investment Bank located in New York is looking to bring on a VP within their Derivative Pricing Model Review team, which is responsible for technical advisory support around pricing methodology and model control for the Valuations/IPV function.
This role works directly with trading and quantitative groups, and provides significant exposure to the covered derivatives, as well as the pricing and hedging process.
- Serve as a lead on the Valuations team, covering price verification and valuations methodology for credit derivatives and CVA.
- Play a crucial role in the analysis and validation of market data inputs to ensure fair valuation of trades and portfolios in accordance with current regulatory standards.
- Perform additional checks on front office pricing models in order to ensure accuracy and efficiency.
- Develop a price verification/benchmarking process, and claim responsibility for pricing model calibration and provide recommendations, working in conjunction with development teams on an as-needed basis.
- Keep up to date on current themes and developments in the markets, and provide business advisory on complex transactions and new models.
- Main relationship holder with senior counterparts on the trading desks, establishing and developing strong relationships with external and internal parties across Quant, Risk, Finance, and Technology groups.
- Bachelor’s degree in Finance or Quantitative field (Masters in similar subject preferred).
- Working knowledge of scripting languages (R, Python, etc.).
- 4+ years direct experience working in risk management, valuations, or trade review/analytics.
- Exceptional knowledge of and experience working with credit valuations and XVA (CVA/DVA/FVA etc.).
- Must have a full and up-to-date understanding of the lifecycle of derivatives and be able to investigate and explain valuation movements using sensitivity based analysis.
- Excellent communication skills to establish credibility and build strong relationships.