VP, Financial Quantitative Analysts – Derivatives
Core
Develop and implement advanced quantitative modeling of derivatives-based hedging strategies for balance sheet risk management, portfolio optimization, and analytical infrastructure.
Role type
VP, Financial Quantitative Analyst (Derivatives)
Builds
Derivatives pricing/valuation models, risk management simulations, pro-forma financial projections, and analytical tools for portfolio optimization.
Domain
Financial Services / Derivatives / Interest Rate Risk Management
Deliverable
production ML models
Required skills
Derivatives pricing and valuation, Asset-liability management (ALM) analysis, Interest rate modeling and scenario analysis, Fixed income products analytics, Portfolio construction and optimization, Programming and data skills (VBA/Excel, BQL), Model validation and development
Preferred skills
None stated
Technologies
VBA, Excel, Bloomberg Query Language (BQL), Bloomberg Professional, ICE, S&P, DerivativePath, ADCO, Bloomberg BMED/BAM
Responsibilities
Develop mathematical/statistical models for risk management, asset optimization, and pricing; Build pro-forma financial projection models integrating derivatives valuation and cash flow forecasting; Implement advanced simulation techniques for scenario analysis and stress testing; Perform prepayment risk modeling on loan and bond portfolios; Provide quantitative analysis and application support to traders; Maintain and modify financial analytic models to reflect changing market dynamics; Collaborate on developing analytical software and API integrations.
Seniority
VP, strategic leadership with hands-on technical execution