VP, Financial Quantitative Analysts – Derivatives

Location: New York

Job Description:

Piper Sandler & Co, New York, NY seeks VP, Financial Quantitative Analysts – Derivatives - Develop and implement advanced quantitative modeling of derivatives-based hedging strategies within the Financial Strategies and Hedging desk, focusing on balance sheet risk management, portfolio optimization, and analytical infrastructure development. Apply mathematical or statistical techniques to address practical issues in finance, such as derivative valuation to include specifically providing derivatives pricing and valuation including swaps, caps/floors, swaptions and corridors.

Utilize proprietary software platforms and market data from external providers such as Bloomberg Professional, ICE, S&P, and Derivative Path to price, value, and analyze derivative instruments used for hedging and risk management. Develop mathematical or statistical models for risk management, asset optimization, pricing, or relative value analysis to inform the ideal derivatives structure, notional amounts, and portfolio construction. Develop asset and liability optimization strategies, utilizing derivatives, to optimize portfolio yield and funding cost across varying interest rate environments and balance sheet compositions.

Develop quantitative techniques to inform the impact of derivatives-based strategies including the use of swaps, caps, floors, corridors and swaptions, on balance sheet metrics such as economic value of equity (EVE), earnings-at-risk (EAR), net interest income (NII), net interest margin (NIM), earnings per share (EPS), and GAAP and regulatory capital ratios. Build comprehensive pro-forma financial projection and pro-forma models that integrate derivatives valuation, cash flow forecasting, mark-to-market valuation, hedge accounting treatments, projected interest rate movements, and balance sheet dynamics to quantify the post-hedge impact of initiations, restructuring, unwinding and repricing of derivatives on earnings, valuation and capital metrics.

Implement advanced simulation techniques, conducting scenario analysis and stress testing
-including parallel shifts and custom yield scenarios- to assess hedge strategy impact to balance sheet positioning.  Develop analytical tools to address issues such as portfolio construction or optimization and performance measurement of derivative portfolios to identify restructuring and unwind scenarios to enhance portfolio income or valuation performance under changing market conditions. Perform prepayment risk modeling and analysis on loan and bond portfolios utilizing industry-standard prepayment models including ADCO, Bloomberg’s BMED and BAM, and custom prepayment assumptions, to quantify prepayment exposures under varying interest rate scenario and structure derivatives-based hedges for risk management.

Interpret results of financial analysis and produce written summary reports of financial results under different interest rate risk shocks. Provide application or analytical support to traders on issues such as valuations or data including quantitative analysis of bond’s prepayment projections for structuring of bond transactions, and integration with derivatives solutions for risk management and improved investment performance. Maintain or modify all financial analytic models in use to reflect changing market dynamics, interest rate environments, and economic conditions, ensuring continued accuracy and relevance of derivatives strategy simulations and projections.

Develop core analytical capabilities or model libraries, using programming languages such as VBA/Excel, Bloomberg Query Language (BQL) and data ingestion to extract and process historical and forward-looking market data and pricing of derivatives, interest rate curves,…