• Competitive
  • 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.
New York, NY, USA New York NY US