Sr. Analyst, Valuation & Model Development

Role summary

Model development and implementation

• Recommend models for newly invested derivatives products and prepare analytical reports explaining their mathematical soundness and applicability.
• Conduct the full quantitative model-development cycle, including model selection, prototyping, data consolidation, production scripting, Dev-to-UAT testing, defect resolution, and pre- and post-production reviews.
• Develop and enhance sensitivity and Greeks modeling, including PV01 and CS01 calculations using Numerix methodology.

Valuation, data, and collaboration

• Review market-data quality, focusing on volatility surfaces, dividend curves, and interest rate curves, to prevent stale or anomalous production data.
• Maintain model inventory documentation and collaborate on periodic model reviews, calibrations, and enhancements with Model Validation.
• Provide valuation subject-matter expertise, technical support, and troubleshooting to colleagues and management.
• Contribute to valuation projects, mitigate undue valuation risk, and identify process improvements through technologies, tools, and methods.

Qualifications

• Advanced degree (Master's or Ph.D.) in Quantitative Finance, Statistics, Mathematics, Physics, Engineering, Computer Science, or a related field.
• 3 to 5 years of relevant experience in quantitative finance, derivative modeling, model validation, or valuation methodologies.
• Experience with pricing models and SQL; advanced theoretical and specialist knowledge of valuation models, particularly financial engineering and derivative pricing models.
• CFA and FRM designations are preferred.

Benefits

• HOOPP describes a people-focused culture, learning and development opportunities, and membership in its defined benefit pension plan.
• Permanent employees are offered company-paid extended health and dental benefits; the description also lists post-retirement coverage and wellness programs.