Job Description

Reference # : 17-01095Title : Derivative Pricing Specialist
Location : Long Island City, NY
Position Type : Contract
Experience Level : Start Date / End Date : 07/10/2017 / 12/30/2017

Validate derivative pricing models for the capital markets business. This position requires strong derivative pricing skills. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, using benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls.

Job Responsibilities:
- Validate derivative pricing models.
- Expertise in rates derivatives pricing strongly desirable
- Provide effective challenge to model assumptions, mathematical formulation, and implementation
- Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.


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