VP, Derivatives Quantitative Analytics & Hedging

Piper Sandler & Co.; New York (NY); On-site; USD 113,000 - 138,000; Full time

Job summary

Piper Sandler & Co. in New York, NY is seeking a VP, Financial Quantitative Analyst – Derivatives to develop and implement advanced quantitative models for derivatives‑based hedging and risk management across the balance sheet.

The role requires expertise in pricing and valuation of swaps, caps/floors, swaptions and corridors, plus hands‑on work with Bloomberg Terminal, ICE, S&P and DerivativePath to inform optimal structure and capital impact.

Qualifications

• Provide derivatives pricing and valuation including swaps, caps, floors, swaptions and corridors.
• Asset‑liability management (ALM) analysis to quantify interest‑rate risk and related metrics.
• Interest rate modeling and scenario analysis with stress testing and yield‑curve shifts.
• Pro‑forma modeling including cash flow forecasting and hedge accounting implications.

Responsibilities

• Develop and implement advanced quantitative models for derivatives‑based hedging and risk management.
• Collaborate with traders to price, value and structure derivatives and relate to balance sheet metrics.
• Create analytical tools and libraries for portfolio construction, optimization and performance analysis.
• Conduct scenario analysis and stress testing to assess hedge strategy impact.

Skills

Derivatives pricing

Quantitative modeling

Risk management

Scenario analysis

Programming with VBA/Excel

Education

Master's degree in Business Administration

Bachelor's degree in Business Administration

Tools

Bloomberg Professional

ICE

S&P

DerivativePath

Bloomberg Query Language (BQL)

Job description

Piper Sandler & Co. in New York, NY is seeking a VP, Financial Quantitative Analyst – Derivatives to develop and implement advanced quantitative models for derivatives‑based hedging and risk management across the balance sheet.

The role requires expertise in pricing and valuation of swaps, caps/floors, swaptions and corridors, plus hands‑on work with Bloomberg Terminal, ICE, S&P and DerivativePath to inform optimal structure and capital impact.