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Position: AVP - PC - Rates Valuation
Job Number: MS03451
Location: NY - New York City
Date Posted: 2017-03-14
Salary Range: $126-150k
Job Summary:

Rates Valuation specialist at Global Investment Bank!

Company Information:

Name: Leading Investment Bank

Job Description:

•Provide monthly price verification and help running monthly review meetings with key stakeholders.

•Addressing model limitations through reserve/valuation adjustment calculations.

•Designing and executing price testing methodologies for instance on the SABR, LMM & Short Rate Models across the suite of Vanilla and Exotic Rates products i.e. Bermudans, CMS Spread Options, etc.

•Ensuring valuation consistency between exotic-vanilla models.

•Casting a critical eye on the choice of calibration proposed by front office.

Requirements / Qualifications:

·Master Science in quantitative discipline or a similar qualification 

·3+ years experience in Finance

· Solid options pricing knowledge, Rates options experience is a plus.

· Top level IT skills: VBA, SQL, XML, Python, R.

· Strong analytical skills 

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