Job Number: MS03451Location: NY - New York City
Date Posted: 2017-03-14
Salary Range: $126-150k
Rates Valuation specialist at Global Investment Bank!Company Information:
Name: Leading Investment BankJob 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