Senior Derivatives Analyst


Company:: Sun Life Financial
Location:: Wellesley Hills, MA
Job Type:: Full Time
Category:: Sales & Trading

Yrs of Exp:: 2+ to 5 years
Posted:: 1/24/2013

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Job Description

Within the Derivatives valuation team, DA will assist in valuing a multibillion dollar block of derivatives portfolio, and analyzing the associated interest rate, currency and equity risks. Duties include: research, development, programming and maintenance of independent complex quantitative models to value a wide range of derivative instruments including swaps, swaptions, floors, exotic equity options, FX derivatives etc; analyze and evaluate third party analytical systems and develop internal valuation and risk models; assist in overseeing the operational execution of the derivatives valuation and risk analytics systems; assist in managing the counterparty risk exposure and the collateral management process with OTC counterparties and, perform counterparty and market risk reporting on a wide range of derivatives using probability of default and CVA etc. Daily work with: Bloomberg, NumeriX, Misys Summit FT, BlackRock Aladdin, Barclays Live as well as advanced VBA in Excel/SQL Server and C# programming.

Responsibilities:

Valuation Models: Perform research, development, programming and maintenance of independent complex quantitative models to value a wide range of derivatives and other complex instruments;
Valuation Operations: Assist in overseeing the operational execution of the derivatives valuation and risk analytics systems;
Collateral Management: Assist in managing the counterparty risk exposure and the collateral management process with OTC counterparties;
Risk Reporting: Perform counterparty and market risk reporting on a wide range of derivatives, and support audit requests;
Vendor Evaluation: Analyze and evaluate third party analytical systems.

Requirements:

Master's degree in Business, Finance, Math or any other quantitative or business-related field of study. A background in Computer Science would be considered a plus. Any progress towards CFA designation would be considered a plus.
4-5 Years experience, with 2-3 years in quantitative analysis.
Requires demonstrated ability to:
perform database management, and develop VBA Macros for derivatives valuation and risk model development;
perform programming of the valuation/risk models, at a minimum utilizing SQL, C#, Bloomberg API, and Numerix SDK API.
utilize quantitative, statistical and mathematical financial techniques for swap curve construction, volatility surface generation and interpolation, and structuring custom derivatives deals.