Derivatives Quantitative Analyst-Associate Director/Director Level


Company:: Robert Half - US
Location:: Boston, MA
Job Type:: Full Time
Category:: Sales & Trading

Yrs of Exp:: 7+ to 10 years
Posted:: 1/31/2013

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Job Description

Recruiting for a Derivatives Quantitative Analyst (DA) at either the Associate Director or Director level who will work within the Derivatives Valuation team at a large company just outside of Boston. The DA will assist in valuing a multibillion dollar block of derivatives portfolio, and analyzing the associated interest rate, currency and equity risks.

The 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.

The DA will work daily with: Bloomberg, NumeriX, Misys Summit FT, BlackRock, Aladdin, Barclays Live as well the DA will need advanced VBA in Excel/SQL Server and C# programming skills

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.

• 7-10 Years experience, with 4-6 years in quantitative analysis.

• Requires demonstrated ability to:

1. perform database management, and develop VBA Macros for derivatives valuation and risk model development;

2. perform programming of the valuation/risk models, at a minimum utilizing SQL, C#, Bloomberg API, and Numerix SDK API.

3. utilize quantitative, statistical and mathematical financial techniques for swap curve construction, volatility surface generation and interpolation, and structuring custom derivatives deals.

Interested and Qualified Candidates - Please Contact Bradley Rubin at 617-824-4646 and send a resume to bradley.rubin@roberthalffs.com

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