State Street

OTC Valuations Pricing, Assistant Vice President

State Street
New York
Not disclosed
25 May 2023
01 Jun 2023
Approved employers
Approved employer
Contract type
Full time
Experience level

Who we are looking for

We are looking to fill an Assistant Vice-President role for our New York location to service clients for our Hedge division of our Alterative Investment Solutions Group.

Join us if making your mark in the financial services industry from day one is a challenge you are up for.

Why the role is important

The team you will be joining is a part of International Fund Services (IFS), acquired by State Street in July 2002. IFS, also known as Alternative Investment Solutions is a recognized industry-leading provider of fund accounting, fund administration and risk services to hedge funds and private equity funds. These services are fully integrated to provide complete end-to-end solutions that span the front-, middle- and back-office requirements of institutional investors

What you will be responsible for

As an AVP of the Valuation Group you will be responsible for

  • Analysis and review of market data and calibrated volatility/correlation surfaces. Pricing process support and pricing challenges resolution.
  • Linear, non-linear credit or FX derivatives knowledge (Swaps, FRAs, Cap/Floors, Swaptions, Midcurves, CMS Cap/Floors, CMS Spread Options, CDS, 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.)
  • Understand calibration and pricing results from internally developed modeling tools (curve builder, SABR, cap stripping, correlation etc.)
  • Understanding of P&L drivers for Swaps, FRAs, Cap/Floors, Swaptions, Midcurves, CMS Cap/Floors, CMS Spread Options, CDS and FX options
  • Pricing query resolution
  • Understanding impact of broad market trends and evolution (i.e. LIBOR transition, negative rates, etc.) on models/pricing

What we value

These skills will help you succeed in this role

  • Excellent analytical and research skills
  • Strong critical thinking, problem solving, and organizational skills
  • Strong communication skills both verbal and written
  • Ability to multi task and work efficiently

Education & Preferred Qualifications

  • 3+ 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, derivatives pricing and experience in one of the following areas: Linear rates, non-linear rates, FX derivatives, credit 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
  • Understanding impact of broad market trends and evolution (i.e. LIBOR transition, negative rates, etc.) on models/pricing

Additional requirements

  • Programming skills and experience a plus but not required

About State Street

What we do. State Street is one of the largest custodian banks, asset managers and asset intelligence companies in the world. From technology to product innovation, 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. We provide investment servicing, data & analytics, investment research & trading and investment management to institutional clients.

Work, Live and Grow We make all efforts to create a great work environment. Our benefits packages are competitive and comprehensive. Details vary by location, but you may expect generous medical

care, insurance and savings plans, among other perks. You’ll have access to flexible Work Programs to help you match your needs. And our wealth of development programs and educational support will help you reach your full potential.

Inclusion, Diversity and Social Responsibility. We truly believe our employees’ diverse backgrounds, experiences and perspectives are a powerful contributor to creating an inclusive environment where everyone can thrive and reach their maximum potential while adding value to both our organization and our clients. We warmly welcome candidates of diverse origin, background, ability, age, sexual orientation, gender identity and personality. Another fundamental value at State Street is active engagement with our communities around the world, both as a partner and a leader. You will have tools to help balance your professional and personal life, paid volunteer days, matching gift programs and access to employee networks that help you stay connected to what matters to you.

State Street is an equal opportunity and affirmative action employer.

Salary Range:

$80,000 - $125,000 Annual

The range quoted above applies to the role in the primary location specified. If the candidate would ultimately work outside of the primary location above, the applicable range could differ.

For further information, and to apply, please visit our website via the “Apply” button below. 

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