VP, Rates Derivatives Valuation Lead

Full Time

Financial Holdings Client

Office Status: Hybrid

Responsibilities:

  • As an integral part of the IPV team, the lead will work to independently verify desk prices for an extensive array of Rates Derivative products including options, variance/volatility and inflation swaps, exotics, Bermudans, etc. The successful candidate will also manage junior staff covering rates securities (e.g. US Treasuries, TIPS and STRIPS) and FX
  • Primary responsibilities include month-end testing, reviewing new deals, improving existing methodologies while researching and implementing new ones, ad hoc pricing projects, calculation of month-end reserves and liaising with senior management, trading, risk, product control, model validation and other internal and external stakeholders
  • Additional duties involve preparing a monthly summary report for senior management and chairing monthly valuation meetings where this information is presented. The role will also involve in-depth research of certain highly-technical subjects relevant to supporting the trading business
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