Valuations AVP/Quantitative Analyst Valuations AVP/Quantitative Analyst …

State Street Corporation
in New York, NY, United States
Permanent, Full time
Last application, 26 May 20
Competitive
State Street Corporation
in New York, NY, United States
Permanent, Full time
Last application, 26 May 20
Competitive
State Street Corporation
Valuations AVP/Quantitative Analyst
Responsibilities:
  • Understanding impact of broad market trends and evolution (i.e. LIBOR transition, negative rates, etc.) on models/pricing
  • Linear, non-linear, or FX derivatives knowledge (Swaps, FRAs, Cap/Floors, Swaptions, Midcurves, CMS Cap/Floors, CMS Spread Options, FX options etc.)
  • Understanding of model assumptions/ effects on pricing results (normal, lognormal, shifted SABR etc.)
  • Understand calibration and pricing results from internally developed modeling tools (curve builder, SABR, cap stripping, correlation etc.)
  • Market data understanding, ability to analyze and research on Reuters and Bloomberg terminals (both raw and calibrated data)
  • Ability to support/debug existing C++/VBA code
  • Ability to interface with business team and client quantitative analysis team, and assist with complex query resolution

Qualifications:
  • 5+ years of relevant experience
  • Bachelor or Graduate degree in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, Computer Science or a related field)
  • Excellent quantitative modeling, analytical, research skills required
  • Demonstrated knowledge of financial markets, derivatives pricing and experience in one of the following areas: Linear rates, non-linear rates, FX derivatives
  • Strong communication skills both verbal and written
  • C++, VBA, MS Access
Company Overview

From technology and product innovation to corporate responsibility and community development, we're making our mark on the financial services industry. For more than two centuries, we've been helping our clients safeguard and steward the investments of millions of people - strengthening markets, building communities and creating opportunities for growth.

We owe that longevity to the commitment, expertise and creativity of our employees. Our continued success depends on our ability to attract and develop the best talent in the industry. That's why we're keenly focused on employee development, corporate citizenship and inclusion.

For us, success comes in the mark we make as an organization - for the industry, our clients, our communities and each other.

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