Front Office Quantitative Analyst – Vice President
| Company | Santander |
|---|---|
| Location | New York, NY, USA |
| Salary | $150000 – $250000 |
| Type | Full-Time |
| Degrees | Bachelor’s, Master’s, PhD |
| Experience Level | Senior |
Requirements
- Bachelor’s degree, or equivalent, in Economics, Finance, Physics, Mathematics, Statistics or in another quantitative discipline.
- 4+ years of experience in capital markets, analytics, quantitative research, or risk management at a complex, internationally active organization.
- Hands on experience in developing valuation models for FX and Fixed income complex products including all stages of the development process: mathematical theory/documentation, data management, testing, and implementation.
- Experience writing regulator-readable white papers, model documents, and procedures.
- Experience with XVA adjustments applicable to OTC derivatives.
- Familiarity with regulations applicable to financial markets (Initial and variation Margin, FRTB, Volcker Rule, etc.). Knowledge on Model Risk Management regulations (such as SR 11-7).
- Proficient in more than one computer programming languages such as Python, VBA, C++, R, SQL, or MATLAB.
Responsibilities
- Develop and enhance existing FO models. Cover all stages of model development including, selection and of applicable data, model theory, implementation, and ongoing monitoring.
- Produce SR 11-7 compliant documentation on models covering new and existing products. Guarantee that the Front Office models comply with the requirements in the US MRM policy.
- Implement in production environment all models proposed, improved and developed by the U.S. Risk Methodology Group.
- Produce User Acceptance Tests for new models deployed by internal developers or vendors.
- Develop specifications for enhancement for internal and external developers in accordance with Market Risk’s and Front Office needs and priorities.
- Develop pricing and discounting curve building tools to be used in conjunction with valuation models. These curves should consider collateralization as well as other recent market trends.
- Produce Booking procedures for products approved for trading in US Santander business operating entities.
- Interact with global Murex support to system issues. Collaborate in the testing of Murex version upgrades and Flex model version updates with testing.
- Work in coordination with global FO quants team in the implementation of new initiatives that relate to FO office models.
- Provide support to the trading desks on the corporate pricing and valuation tools including those used for Initial Margin and XVA calculations. Train FO employees in the use of these tools.
- Act as a central point of contact for any Front Office model related requests from U.S. or European regulators. Actively participate in regulatory exams.
- Coordinate and execute projects that pertain to Model Control for Market Risk, including the market risk model control program.
- Produce Market Risk Model Control reporting and presentations for SHUSA and affiliates risk committees.
Preferred Qualifications
- MSc and/or PhD (or equivalent) in Economics, Finance, Physics, Mathematics, Statistics or in another quantitative discipline is preferred.
- Experience with vendor valuation platforms (ideally Murex).
- CFA or FRM is a plus.