VP, Financial Quantitative Analysts – Derivatives

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

Descrizione del lavoro

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.

Competenze

• 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.

Mansioni

• 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.

Conoscenze

Derivatives pricing

Quantitative modeling

Risk management

Scenario analysis

Programming with VBA/Excel

Formazione

Master's degree in Business Administration

Bachelor's degree in Business Administration

Strumenti

Bloomberg Professional

ICE

S&P

DerivativePath

Bloomberg Query Language (BQL)

Descrizione del lavoro

Job Description

Piper Sandler & Co, New York, NY seeks VP, Financial Quantitative Analysts – Derivatives - Develop and implement advanced quantitative modeling of derivatives-based hedging strategies within the Financial Strategies and Hedging desk, focusing on balance sheet risk management, portfolio optimization, and analytical infrastructure development. Apply mathematical or statistical techniques to address practical issues in finance, such as derivative valuation to include specifically providing derivatives pricing and valuation including swaps, caps/floors, swaptions and corridors. Utilize proprietary software platforms and market data from external providers such as Bloomberg Professional, ICE, S&P, and DerivativePath to price, value, and analyze derivative instruments used for hedging and risk management. Develop mathematical or statistical models for risk management, asset optimization, pricing, or relative value analysis to inform the ideal derivatives structure, notional amounts, and portfolio construction. Develop asset and liability optimization strategies, utilizing derivatives, to optimize portfolio yield and funding cost across varying interest rate environments and balance sheet compositions. Develop quantitative techniques to inform the impact of derivatives-based strategies including the use of swaps, caps, floors, corridors and swaptions, on balance sheet metrics such as economic value of equity (EVE), earnings-at-risk (EAR), net interest income (NII), net interest margin (NIM), earnings per share (EPS), and GAAP and regulatory capital ratios. Build comprehensive pro-forma financial projection and pro-forma models that integrate derivatives valuation, cash flow forecasting, mark-to-market valuation, hedge accounting treatments, projected interest rate movements, and balance sheet dynamics to quantify the post-hedge impact of initiations, restructuring, unwinding and repricing of derivatives on earnings, valuation and capital metrics. Implement advanced simulation techniques, conducting scenario analysis and stress testing -including parallel shifts and custom yield scenarios- to assess hedge strategy impact to balance sheet positioning. Develop analytical tools to address issues such as portfolio construction or optimization and performance measurement of derivative portfolios to identify restructuring and unwind scenarios to enhance portfolio income or valuation performance under changing market conditions. Perform prepayment risk modeling and analysis on loan and bond portfolios utilizing industry-standard prepayment models including ADCO, Bloomberg’s BMED and BAM, and custom prepayment assumptions, to quantify prepayment exposures under varying interest rate scenario and structure derivatives-based hedges for risk management. Interpret results of financial analysis and produce written summary reports of financial results under different interest rate risk shocks. Provide application or analytical support to traders on issues such as valuations or data including quantitative analysis of bond’s prepayment projections for structuring of bond transactions, and integration with derivatives solutions for risk management and improved investment performance. Maintain or modify all financial analytic models in use to reflect changing market dynamics, interest rate environments, and economic conditions, ensuring continued accuracy and relevance of derivatives strategy simulations and projections. Develop core analytical capabilities or model libraries, using programming languages such as VBA/Excel, Bloomberg Query Language (BQL) and data ingestion to extract and process historical and forward-looking market data and pricing of derivatives, interest rate curves, and volatility metrics. Collaborate with product development teams to research, model, validate, or implement quantitative structured solutions to enhance the computational efficiency of proprietary optimization and valuation models and to develop API integrations that ingest real-time pricing, valuation, and market data. Collaborate in the development or testing of new analytical software to ensure compliance with user requirements, specifications, or scope and reliability of derivatives pricing and valuation on risk metrics under varying market conditions. Will travel 5% US to attend conferences and meet with clients. Requires Master’s (or foreign educ. equiv.) Degree in Business Administration, Finance, Economics, Accounting or related field and two (2) yrs. experience in Job Offered or related. Alternatively, will accept Bachelor’s (or foreign educ. equiv.) Degree in Business Administration, Finance, Economics, Accounting or related field and five (5) yrs. (post‑degree, progressive) experience in Job Offered or related. Experience must have included: Providing derivatives pricing and valuation including swaps, caps/floors, swaptions and corridors; Asset‑liability management (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; Fixed income products analytics including prepayment risk modeling of loan and bonds using ADCO, Bloomberg BMED/BAM, custom CPR/PSA assumptions, evaluation of duration, convexity and repricing risk under varying interest rate scenarios; Perform derivatives risk modeling, financial projection & pro‑forma modeling including cash flow forecasting, mark‑to‑market valuation and pro‑forma impact of structured derivatives strategies on balance sheets; Portfolio construction & optimization including relative value analysis, notional sizing, restructuring/unwinding analysis and performance measurement; Use of Programming & data skills including VBA/Excel, Bloomberg Query Language (BQL) and data ingestion; Use of market data & platforms for extracting/processing data using Bloomberg Professional (Terminal), ICE, S&P and DerivativePath; and Providing model validation & development of optimization models and simulation tools for sensitivity analysis, including testing, developing enhancements, and coordinating with development teams. $125,000/yr.

About Piper Sandler

At Piper Sandler, we connect capital with opportunity to build a better future. As a leading investment bank, we enable growth, navigate complexities and support the success of our clients by delivering candid advice, deep sector expertise and a comprehensive set of products and capabilities. We transcend transactions to define possibilities—enabling clients to achieve their short-term goals while realizing their long-term vision. Founded in 1895, the firm is headquartered in Minneapolis with offices across the U.S. and in London, Aberdeen, Zurich, Munich, Abu Dhabi and Paris.