The ideal candidate will work with the Business Finance & Control Group to support interest rate exotics and manage the testing and valuation of the America Interest Rates derivative portfolio. The products that the individual would be covering would range from CMS Linear, CMS Digital, Leveraged Steepener, Berm/Accreter, AutoCall, and mid-curve Swaption. The candidate will support the price verification and improve the valuation adjustment methodology for the HJM model. This individual will also interact with Traders and work with Risk, Quantitative, and financial modelers.
- 6 years of progressive experience or related
- Bachelor's degree in Quantitative Finance, Financial Engineering, Physics, Maths or related
- Master's degree in Quantitative Finance, Financial Engineering, Physics, Maths or related plus three years of experience or related.
- Experience with interest rate products including bonds, swaps, swaptions, caps, bermudan swaptions.
- Experience with modeling for IR Exotics pricing including HJM and BGM.