Provide coverage to insurance companies and other institutional clients for rates solutions, including interest rate/FX hedging, liquidity management, risk recycling, funding/financing, and bank capital relief transactions.
Salary range: $140,000.00 – $170,000.00/year.
- Coordinating with trading desks to model and price derivative instruments including interest rate swaps, cross currency swaps, swaptions, and bond forwards
- Utilizing Valuation Adjustments (XVA) and credit risk modeling frameworks
- Calculating and analyzing complex risk metrics including Potential Future Exposure (PFE) under varying margining conditions, Expected Positive Exposure (EPE), Credit Valuation Adjustment (CVA), and Funding Valuation Adjustment (FVA) to assess counterparty risk and derivative pricing
- Reviewing and preparing bespoke trade confirmations and term sheets for structured derivative transactions
- Conducting interest rate sensitivity analysis to evaluate evolution of projected transaction cash flows and Present Value (PV) metrics under various forward-looking yield curve shifts, parallel/non-parallel rate environments, and macroeconomic stress scenarios
- Bachelor’s degree in Mathematics, Economics, or a related field or equivalent
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