Valuations Officer, Quantitative Analyst Valuations Officer, Quantitative Analyst …

State Street Corporation
in New York, NY, United States
Permanent, Full time
Last application, 31 Mar 20
Competitive
State Street Corporation
in New York, NY, United States
Permanent, Full time
Last application, 31 Mar 20
Competitive
State Street Corporation
Valuations Officer, Quantitative Analyst
Be a part of a highly specialized quantitative team dedicated to the support and development of the pricing applications and OTC data modeling supporting our complex, global client base. Responsibilities will include analysis and review of market data and calibrated volatility/correlation surfaces, and pricing process support and pricing challenges resolution.
  • Linear, non-linear, or FX derivatives knowledge (Swaps, FRAs, Cap/Floors, Swaptions, Midcurves, CMS Cap/Floors, CMS Spread Options, FX options etc.)
  • Market data understanding, ability to analyze and research on Reuters and Bloomberg terminals (both raw and calibrated data)
  • Model understanding/calibration results evaluation and analysis (SABR, cap stripping, correlation etc.). Understanding of model assumptions/ effects on pricing results (normal, lognormal, shifted SABR etc.)
  • Understanding of P&L drivers for Swaps, FRAs, Cap/Floors, Swaptions, Midcurves, CMS Cap/Floors, CMS Spread Options , FX options
  • Pricing query resolution
  • Understanding impact of broad market trends and evolution (i.e. LIBOR transition, negative rates, etc.) on models/pricing
Qualifications:
  • 4+ years of relevant experience
  • Bachelor or Graduate degree in a quantitative discipline (Financial Mathematics, Financial Engineering, Mathematics, or a related field)
  • Demonstrated knowledge of financial markets and experience in one of the following areas: Linear rates, non-linear rates, FX derivatives.
  • Excellent analytical and research skills
  • Strong communication skills both verbal and written
  • Ability to interface with business team and client quantitative analysis team, and assist with complex query resolution
  • Programming skills and experience a plus but not required

Company Overview

From technology and product innovation to corporate responsibility and community development, we're making our mark on the financial services industry. For more than two centuries, we've been helping our clients safeguard and steward the investments of millions of people - strengthening markets, building communities and creating opportunities for growth.

We owe that longevity to the commitment, expertise and creativity of our employees. Our continued success depends on our ability to attract and develop the best talent in the industry. That's why we're keenly focused on employee development, corporate citizenship and inclusion.

For us, success comes in the mark we make as an organization - for the industry, our clients, our communities and each other.

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