VP Derivatives Quant Analytics & Hedging

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

Descrizione del lavoro

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

You'll implement scenario and stress testing, build pro-forma projections, and collaborate with traders and tech teams to enhance the analytical infrastructure and

Competenze

• Master’s degree or foreign equivalent required; two years’ experience in derivatives pricing and valuation.
• Experience with ALM analysis, EVT metrics and hedging strategies.
• Proficiency in VBA/Excel, Bloomberg (BQL) and market data integration.

Mansioni

• Develop quantitative models for derivatives valuation and hedging strategies.
• Analyze impact on EVE, EAR, NII, NIM, EPS, and capital ratios.
• Build pro-forma models integrating valuation, cash flows, and balance sheet dynamics.
• Support traders with valuations, data requests, and risk reporting.

Conoscenze

Derivatives pricing

ALM analysis

Scenario analysis

Stress testing

Portfolio optimization

Data ingestion

VBA/Excel

Bloomberg Terminal

BQL

Derivatives risk modeling

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 with 5 years’ experience

Strumenti

Bloomberg Professional Terminal

ICE

S&P

DerivativePath

BQL

Excel VBA

Descrizione del lavoro

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

You'll implement scenario and stress testing, build pro-forma projections, and collaborate with traders and tech teams to enhance the analytical infrastructure and