Senior Derivatives Quant - ALM, Valuation & Risk

Piper Sandler & Co. in; New York (NY); In loco; USD 113.000 - 138.000; Tempo pieno

Vantaggi offerti da questo lavoro

Travel 5% US

Descrizione del lavoro

Piper Sandler & Co., New York, NY, seeks a VP, Financial Quantitative Analysts – Derivatives to develop advanced quantitative models for derivatives-based hedging strategies and balance sheet risk management. You will price, value, and analyze swaps, caps/floors, swaptions and corridors using Bloomberg, ICE, S&P and DerivativePath data.

The role emphasizes ALM analysis, hedging impact on EVE, EAR, NII, NIM, EPS and capital ratios.

Competenze

• Requires Master’s Degree (or foreign educ. equiv.) in Business Administration, Finance, Economics, Accounting or related field and two (2) yrs. experience in Job Offered or related.
• Alternatively, will accept Bachelor’s Degree (or foreign educ. equiv.) and five (5) yrs. experience in Job Offered or related.
• Experience must include derivatives pricing and valuation including swaps, caps, floors, swaptions and corridors.
• ALM analysis to quantify interest-rate risk and analyze EVE, EAR, NII, NIM, EPS sensitivity and GAAP/regulatory capital impacts.
• Interest rate modeling & scenario analysis and stress testing including parallel/custom yield curve shifts and forward curves.

Mansioni

• Develop advanced quantitative models for risk management, asset optimization, pricing, or relative value analysis.
• Price, value, and analyze derivative instruments used for hedging and risk management.
• Build pro-forma financial projections integrating derivatives valuation, cash flow forecasting, and balance sheet dynamics.
• Perform scenario analysis and stress testing to assess hedge strategy impact.
• Develop analytical tools for portfolio construction or optimization and performance measurement.

Conoscenze

Derivatives pricing

ALM analysis

Interest rate modeling

Scenario analysis

VBA/Excel

BQL

Data ingestion

Portfolio construction

Formazione

Master’s degree in Business Administration, Finance, Economics, Accounting or related field

Bachelor’s degree in Business Administration, Finance, Economics, Accounting or related field

Strumenti

Bloomberg Terminal

ICE

S&P Global

DerivativePath

Descrizione del lavoro

Piper Sandler & Co., New York, NY, seeks a VP, Financial Quantitative Analysts – Derivatives to develop advanced quantitative models for derivatives-based hedging strategies and balance sheet risk management. You will price, value, and analyze swaps, caps/floors, swaptions and corridors using Bloomberg, ICE, S&P and DerivativePath data.

The role emphasizes ALM analysis, hedging impact on EVE, EAR, NII, NIM, EPS and capital ratios.