VP, Financial Quantitative Analysts – Derivatives

Piper Sandler•New York, NY

2d•Onsite

About The Position

Piper Sandler & Co. seeks a Vice President, Financial Quantitative Analyst specializing in derivatives for its Financial Strategies and Hedging desk in New York, NY. The role develops and implements quantitative models and strategies for derivatives-based hedging, balance-sheet risk management, portfolio optimization, and analytical infrastructure. It includes pricing and valuing swaps, caps, floors, swaptions, and corridors using proprietary platforms and external market data, and developing models to inform derivatives structure, notional sizing, and portfolio construction. The position develops asset-liability optimization strategies and quantitative methods to evaluate the impact of derivatives on balance-sheet and financial measures, including EVE, EAR, NII, NIM, EPS, and GAAP and regulatory capital ratios. It builds pro forma projections integrating derivatives valuation, cash flows, mark-to-market valuation, hedge accounting, interest-rate projections, and balance-sheet dynamics. The role also performs simulations, scenario analysis, and stress testing; develops tools for portfolio optimization and performance measurement; and models prepayment risk in loan and bond portfolios. The analyst interprets financial analysis and prepares written reports, supports traders with valuation and analytical work, maintains financial models, and develops analytical capabilities and model libraries using VBA/Excel, Bloomberg Query Language (BQL), and market-data ingestion. The role collaborates with product-development teams on quantitative structured solutions, model efficiency, API integrations, and testing analytical software for user requirements, reliability, and derivatives valuation and risk metrics. Travel within the United States to conferences and client meetings is required approximately 5% of the time.

Requirements

Master’s degree or foreign equivalent in Business Administration, Finance, Economics, Accounting, or a related field, plus two years of experience in the job offered or a related role; alternatively, a bachelor’s degree or foreign equivalent in one of these fields plus five years of progressive, post-degree experience in the job offered or a related role.
Experience pricing and valuing derivatives, including swaps, caps/floors, swaptions, and corridors.
Experience performing asset-liability management analysis of interest-rate risk, including EVE, EAR, NII, NIM, EPS sensitivity, and GAAP and regulatory capital impacts.
Experience with interest-rate modeling, scenario analysis, and stress testing, including parallel and custom yield-curve shifts and forward curves.
Experience with fixed-income analytics, including loan and bond prepayment-risk modeling using ADCO, Bloomberg BMED/BAM, and custom CPR/PSA assumptions, and evaluating duration, convexity, and repricing risk.
Experience in derivatives risk modeling and financial projection and pro forma modeling, including cash-flow forecasting, mark-to-market valuation, and analysis of structured derivatives strategies’ balance-sheet impacts.
Experience with portfolio construction and optimization, including relative-value analysis, notional sizing, restructuring and unwind analysis, and performance measurement.
Programming and data skills using VBA/Excel, Bloomberg Query Language (BQL), and data ingestion.
Experience extracting and processing market data using Bloomberg Professional (Terminal), ICE, S&P, and DerivativePath.
Experience validating and developing optimization models and simulation tools for sensitivity analysis, including testing, developing enhancements, and coordinating with development teams.

Responsibilities

Develop and implement quantitative models for derivatives-based hedging, balance-sheet risk management, portfolio optimization, and analytical infrastructure.
Price and value derivatives, including swaps, caps, floors, swaptions, and corridors, using proprietary platforms and external market data.
Develop models for risk management, asset optimization, pricing, and relative-value analysis to inform derivatives structures, notionals, and portfolio construction.
Develop asset-liability optimization strategies using derivatives to optimize portfolio yield and funding costs across interest-rate environments and balance-sheet compositions.
Analyze the impact of derivatives strategies on EVE, EAR, NII, NIM, EPS, and GAAP and regulatory capital ratios.
Build pro forma financial projections integrating derivatives valuation, cash-flow forecasting, mark-to-market valuation, hedge accounting, interest-rate projections, and balance-sheet dynamics.
Conduct simulations, scenario analysis, and stress testing, including parallel shifts and custom yield scenarios, to assess hedge strategies and balance-sheet positioning.
Develop analytical tools for portfolio construction, optimization, and performance measurement, including identifying restructuring and unwind scenarios.
Perform prepayment-risk modeling and analysis on loan and bond portfolios using industry-standard models and custom assumptions, and structure derivatives-based hedges.
Interpret financial analysis and prepare written summaries of financial results under different interest-rate shocks.
Provide traders with application and analytical support, including bond prepayment projections and derivatives solutions for risk management and investment performance.
Maintain and modify financial analytical models to reflect changing markets, interest rates, and economic conditions.
Develop analytical capabilities and model libraries using VBA/Excel, BQL, and data-ingestion techniques for market data, derivatives pricing, interest-rate curves, and volatility metrics.
Collaborate with product-development teams to research, model, validate, and implement structured solutions, improve model efficiency, and develop API integrations for real-time pricing, valuation, and market data.
Collaborate on development and testing of analytical software to ensure compliance with requirements and reliable derivatives pricing, valuation, and risk metrics.
Travel approximately 5% within the United States to attend conferences and meet with clients.