As a Vice President in the Quantitative Trading & Research team, you'll collaborate with traders, risk managers, and controllers to develop and maintain sophisticated models for fair value measurement across multiple business lines.
Responsibilities
- Develop mathematical models for the valuation of credit derivatives, structured lending facilities, and illiquid collateral.
- Implement methodologies for model calibration and build analytics to manage model risk appetite.
- Leverage machine learning, AI, and data analytics to enhance valuation methodologies and drive innovation.
- Define methodology for pricing adjustments, model limitations, parameter uncertainty, and liquidity reserves.
- Monitor model performance metrics to ensure models behave as expected over time.
- Design and develop software frameworks for analytics delivery to systems and applications.
- Collaborate with front office trading desks, controllers, and model risk teams to safeguard the firm's balance sheet.
Qualifications
- Demonstrated quantitative and problem‑solving skills, including research abilities.
- Strong understanding of advanced mathematics in financial modeling (probability theory, stochastic calculus, statistics).
- Hands‑on experience with data analytics, large data sets, and tools for analysis and visualization.
- Proficiency in code design and programming, primarily Python and C++.
- Practical experience with code performance optimization, debugging, and reverse engineering.
- Excellent verbal and written communication and team skills in a multi‑location environment.
- Deep understanding of financial products, their valuations, and associated risks.
Preferred Qualifications
- Advanced degree (PhD, MSc, or equivalent) in Engineering, Mathematics, Physics, Computer Science, etc.
- Proven quantitative model development or model validation experience.
- Markets experience and familiarity with trading concepts and terminology.
- Knowledge of options pricing theory, trading algorithms, financial regulations, stochastic processes, partial differential equations, and numerical analysis.
