VP, Financial Quantitative Analysts – Derivatives

Piper Sandler•New York, NY

1d•Onsite

About The Position

Piper Sandler & Co seeks a Vice President to develop and implement advanced quantitative modeling of derivatives-based hedging strategies within its Financial Strategies and Hedging desk. The role focuses on balance sheet risk management, portfolio optimization, and analytical infrastructure development. It applies mathematical and statistical techniques to financial issues, including valuation of swaps, caps and floors, swaptions, and corridors, using proprietary software and external market data. The position develops models and strategies for risk management, asset and liability optimization, pricing, relative value analysis, portfolio construction, and derivatives-based hedging. It builds pro forma financial projections integrating derivatives valuation, cash-flow forecasting, mark-to-market valuation, hedge accounting, interest-rate projections, and balance-sheet dynamics. The role also uses simulations, scenario analysis, and stress testing to evaluate hedge strategies and their effects on earnings, valuation, and capital metrics. The analyst develops tools to optimize and measure derivatives portfolios, models prepayment risk in loan and bond portfolios, and provides analytical support to traders. Responsibilities include maintaining financial models as markets and economic conditions change; developing analytical capabilities and model libraries using VBA/Excel and Bloomberg Query Language (BQL); processing market data; and collaborating with product development teams on quantitative solutions, API integrations, and analytical software testing. Travel within the United States of 5% is required to attend conferences and meet clients. Requires a master’s degree (or foreign equivalent) in Business Administration, Finance, Economics, Accounting, or a related field and two years of experience in the offered or a related job. Alternatively, a bachelor’s degree (or foreign equivalent) in one of those fields and five years of post-degree, progressive experience in the offered or a related job is acceptable.

Requirements

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

Responsibilities

Develop and implement quantitative models for derivatives-based hedging strategies, balance-sheet risk management, and portfolio optimization.
Price, value, and analyze derivatives, including swaps, caps and 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, notional amounts, and portfolio construction.
Develop asset and liability optimization strategies using derivatives to optimize portfolio yield and funding costs across interest-rate environments and balance-sheet compositions.
Analyze the impacts of derivatives strategies on EVE, EAR, NII, NIM, EPS, and GAAP and regulatory capital ratios.
Build pro forma financial projection models integrating derivatives valuation, cash-flow forecasting, mark-to-market valuation, hedge accounting, projected interest-rate movements, and balance-sheet dynamics.
Use simulation, scenario analysis, and stress testing—including parallel shifts and custom yield scenarios—to evaluate hedge strategy impacts on balance-sheet positioning.
Develop tools for portfolio construction, optimization, and performance measurement to identify restructuring and unwind opportunities.
Perform prepayment risk modeling and analysis on loan and bond portfolios using ADCO, Bloomberg BMED and BAM, and custom prepayment assumptions; assess exposures and structure derivatives-based hedges.
Interpret financial analysis and prepare written summaries of results under different interest-rate shocks.
Provide analytical and application support to traders, including bond prepayment projections and integration of derivatives solutions for risk management and investment performance.
Maintain or modify financial analytical models to reflect market dynamics, interest-rate environments, and economic conditions.
Develop analytical capabilities and model libraries using VBA/Excel and BQL, and ingest and process historical and forward-looking market data, derivatives pricing, interest-rate curves, and volatility metrics.
Collaborate with product development teams to research, model, validate, and implement structured quantitative solutions, improve proprietary model efficiency, and develop API integrations for real-time pricing, valuation, and market data.
Collaborate in developing and testing analytical software to ensure compliance with user requirements and reliable derivatives pricing, valuation, and risk metrics under varying market conditions.
Travel 5% within the United States to attend conferences and meet clients.