Associate, Commodity/FX Derivatives Quant - New York, NY

About the role

Contributes to the overall success of the Global Analytics and Financial Engineering team ensuring specific individual goals, plans, initiatives are executed / delivered in support of the team’s business strategies and objectives. Ensures all activities conducted are in compliance with governing regulations, internal policies and procedures.

Responsibilities

• Champions a customer focused culture to deepen client relationships and leverage broader Bank relationships, systems and knowledge.
• Develops valuation models for Commodity and FX derivatives, and ensures the theoretical soundness, the numerical accuracy, and the implementation correctness of these models.
• Develops robust, reliable and user friendly front office analytics for pricing, hedging, risk management and P&L attribution for both intraday and end of day.
• Provides daily and on demand quantitative support to the business in a timely manner related to valuation, risks, PnL attribution, hedging and so on.
• Provides subject matter expertise to model stakeholders such as the business, risk management, audit, product control and technology groups during and post of the model implementation.
• Forms a close partnership with the business to deliver models and analytics to production from end to end with limited supervision.
• Keeps oneself current on the advancements of models and related technology, and proactively introduces these advancements into the bank.
• Understands how the Bank’s risk appetite and risk culture should be considered in day-to-day activities and decisions.
• Actively pursues effective and efficient operations of his/her respective areas, while ensuring the adequacy, adherence to and effectiveness of day-to-day business controls to meet obligations with respect to operational risk, regulatory compliance risk, AML/ATF risk and conduct risk, including but not limited to responsibilities under the Operational Risk Management Framework, Regulatory Compliance Risk Management Framework, AML/ATF Global Handbook and the Guidelines for Business Conduct.
• Champions a high performance environment and contributes to an inclusive work environment.

Requirements

• PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas.
• 1-4+ years’ experience in Commodity/FX derivatives and structured notes products and their valuation models.
• Solid background in PDE, Monte-Carlo and stochastic calculus.
• Strong programming skills in C++, C++11 or higher version; experience with other programming languages such as Python/Scala.
• Very good communication and interpersonal skills and a team player.
• Ability to work well in a fast-paced environment with changing priorities.

Qualifications

• Location(s): United States : New York : New York City

Skills

• Strong analytical and problem-solving skills.
• Excellent communication and interpersonal skills.
• Experience with financial modeling and derivatives.
• Knowledge of financial regulations and compliance.

Benefits

• Comprehensive benefits package including health insurance, retirement savings plans, and paid time off.

Pay

Salary Range: 155,000.00 - 185,000.00

Schedule

Full-time