Job Description:
Job ID(18106) |
A dynamic and forward thinking NY financial institution is looking for a Senior Quantitative Manager to design, develop and implement cutting edge models for Valuation and Risk Management of Swaptions and other OTC derivatives. The firm needs to have a senior quant who can help assess and respond to complex risk and margining issues.
The role is responsible for developing risk policy, and architecting efficient risk models for margining of interest rate swaps and swaptions. Candidate must have a PhD and have a deep understanding of volatility surface (cube), skews, and swaptions liquidity. The Candidate must be a hands on developer, (player/coach) who can provide expertise as the firm creates and builds new risk models. Ideal Candidate will have 5+ years of experience building swaptions risk models. Strong Communications skills are a strong requirement. The firm is offering exceptional compensation and long term equity participation. This opportunity is for someone who can help determine and shape the derivatives trading environment as the industry adjusts to increased transparency in anticipation of regulatory changes.
Recruiter: Jim Geiger
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